Statistical signal processing applied to asset management, session CS17.
S. Darolles, Chairman and organizer, Université Paris-Dauphine, Member of the QMI
E. Jay, Chairman, QamLab, Member of the QMI
- Model for price and trades high-frequency dynamics, E. Bacry, CNRS, Ecole Polytechnique and Member of the QMI
Liquidity Risk, session CS40.
G. Le Fol, Chairman and organizer, Université Paris – Dauphine, CREST, Scientific Director of the QMI
S. Darolles, Organizer, Université Paris-Dauphine, Member of the QMI
- Large tick assets: Implicit spread and optimal tick size, M. Rosenbaum, , Member of the QMI
- Liquidity risk estimation in conditional volatility models, S. Darolles, Université Paris – Dauphine, Member of the QMI