A


  • Allen, D.E., McAleer, M. and Singh A.K. • "An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series".
  • Allen, D.E., McAleer, M. and Singh A.K. • "Daily Market News Sentiment and Stock Prices".
  • Allen, D.E., McAleer, M. and Singh A.K. • "An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series".
  • Allen, D.E., McAleer, M. and Singh A.K. • "Daily Market News Sentiment and Stock Prices".
  • Atif, J., A. Auger, E. Benhamou, and R. Laraki • "A new approach to learning in Dynamic Bayesian Networks (DBNs)".
  • Atif, J., A. Auger, E. Benhamou, and R. Laraki • "A discrete version of CMA-ES".
  • Atif, J., A. Auger, E. Benhamou, and R. Laraki • "Operator norm upper bound for sub-Gaussian tailed random matrices".
  • Auray, S., and C., Gourieroux • "Procyclicité des régulations Financières".

B


  • Baltas A.-K., and R. Kosowski • "Momentum Strategies in Futures Markets and Trend-following Funds".
  • Becam, A., Darolles. S. and Le Fol, G. • "Serial correlation and time-varying liquidity in the hedge fund industry".
  • Becam, A., Darolles. S. and Le Fol, G. • "Smoothed Returns and Managers’ skills".
  • Benhamou E. • "A few properties of sample variance".
  • Benhamou E. • "Variance Reduction in Actor Critic Methods (ACM)".
  • Benhamou E. • "Similarities between policy gradient methods (PGM) in reinforcement learning (RL) and supervised learning (SL)".
  • Benhamou E., B. Guez, and N. Paris • "Omega and Sharpe Ratio".
  • Benhamou E., D Saltiel, B. Guez, N. Paris • "Testing Sharpe ratio: luck or skill?".
  • Benhamou E., D Saltiel, JJ Ohana, J Atif • "Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning".
  • Benhamou E., D. Saltiel, S. Ungari, A. Mukhopadhyay • "Time your hedge with Deep Reinforcement Learning".
  • Benhamou E., D. Saltiel, S. Ungari, A. Mukhopadhyay • "Bridging the gap between Markowitz planning and deep reinforcement learnin".
  • Benhamou E., D. Saltiel, S. Ungari, A. Mukhopadhyay, J Atif • "Augmented Asset Management with Deep Reinforcement Learning".
  • Benhamou E., S. Darolles and G. Le Fol • "Risk Analysis and Large Dimensions: Applications to mutual Funds".
  • Boeckelmann L, and A. Stalla-Bourdillon • "International liquidity: structural estimation of time varying spillovers".
  • Boeckelmann L, and A. Stalla-Bourdillon • "Structural Estimation of Time-varying Spillovers: an Application to International Credit Risk Transmission in the Euro Area".
  • Borgy, V., Idier, J. and Le Fol, G. • "Liquidity Problems in the FX market: Ask for the BIL".
  • Briere, M., C.-A. Lehalle, T. Nefedova, Tamara and A. Raboun • "Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies (April 24, 2019)".
  • Brolley M. and M. Zoican • "Liquid Speed: On-Demand Fast Trading at Distributed Exchanges".
  • Brown D., S. Kovbasyuk and T. Nefedova • "Is There Skill in the Game? Institutional IPO Allocations".
  • Brownlees C., Darolles S., Le Fol G., and B. Sagna • "Forecasting Intra-daily volume in large panels of assets for basket VWAP trading".

C


  • Calamia A., Deville L. and F. Riva • "The Provision of Liquidity in ETFs: Theory and Evidence from European Markets".
  • Calvez L., V. Czellar, and C. Gouriéroux • "Structural Dynamic Analysis of Systematic risk".
  • Chevalier, C., and S. Darolles • "Diversifying Trends".

D


  • Dale, W., Darolles, S., Lambert, M., and G. Monarcha • "The Missing Link between Active and Passive Management".
  • Darolles S. and Vaissié, M • "The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects".
  • Darolles S., Dubecq, S., and C., Gourieroux • "Contagion analysis in the banking sector".
  • Darolles S., Dubecq, S., and C., Gourieroux • "Contagion analysis in the banking sector".
  • Darolles S., Dudek, J. and Le Fol, G. • "MLiq a Meta Liquidity Measure".
  • Darolles S., G. Le Fol and R. Sun • "Liquidity Risk and Investor Behavior: Issues, Data and Models".
  • Darolles S., Gagliardini, P., and C., Gourieroux • "Survival of Hedge Funds: Frailty vs Contagion".
  • Darolles S., and G. Roussellet • "Managing hedge fund liquidity risks".
  • Deville L., J. Raposo, and F. Riva • "Event studies and (endogenous) zero returns".

E


  • Eisele A., T. Nefedova, Tamara and G. Parise • "Are Star Funds Really Shining? Cross-Trading and Performance Shifting in Mutual Fund Families".
  • Eisele A., T. Nefedova, Tamara and G. Parise • "Predation versus Cooperation in Mutual Fund Families".
  • Evans R., T. Nefedova and G. Paris • "Front-trading and Information Environment in Mutual Fund Families".

F


  • Fays, B., G. Hübner, and M. Lambert • "Gamma Trading Skills in Hedge Funds".
  • Fays, B., G. Hübner, and M. Lambert • "The Seasons of the True Size Anomaly".
  • Fays, B., M. Lambert, and N. Papageorgiou • "Risk optimizations on basis portfolios: The role of sorting".
  • Francq, C., and J.M. Zakoïan • "Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models".
  • Francq, C., and J.M., Zakoian • "Joint Inference on Market and Estimation Risks in Dynamic Portfolio".
  • Francq, C., and J.M., Zakoian • "Expected Shortfall Estimation in Volatility Models".

G


  • Gourieroux, C., Monfort, A., and J.P., Renne • "Disastrous Defaults".
  • Gourieroux, C., Monfort, A., and J.P., Renne • "Group Transformation Models : A New Interpretation of Intercept in Semi-Parametric Econometrics".
  • Gourieroux, C., and A., Monfort • "Economic Scenario Generators and Incomplete Markets".
  • Gourieroux, C., and A., Tiomo • "The Evaluation of Model Risk for Probability of Default and Expected Loss".
  • Gourieroux, C., and J., Jasiak • "A Stochastic Tree with Application to Bubble Modelling and Pricing".
  • Gourieroux, C., and J., Jasiak • "Dynamic Deconvolution of Independent AR(1) Sources".
  • Gourieroux, C., and J.C., Heam • "Funding Liquidity Risk in a Regulatory Perspective".
  • Gourieroux, C., and Y., Lu • "Staying at the Zero-Lower Bound with Embedded Markov Chain".
  • Gourieroux,C., and J., Jasiak • "Inference for Noisy Long Run Components".

H


  • Haas M. D. and M. A. Zoican • "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets".
  • Haas M. D. and M. A. Zoican • "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets".

L


  • Lambert M. and N. Moreno • "The Earnings Announcement Day Puzzle in the Value Premium".
  • Langlois H. • "Forecasting Portfolio Weights".
  • Lou D., and C. Polk • "The Booms and Busts of Beta Arbitrage: Measuring the extent of the Low-Beta Crowd".

M


  • Martineau C. and M. Zoican • "Investor Attention and the Cross-Section of Analyst Coverage".
  • Mero G • "False discoveries in Hedge Fund performance and business cycles".
  • Mhalla, L., Hambuckers, J., and M. Lambert, M • "Extremal connectedness and systemic risk of hedge".

N


  • Nefedova T. • "Tippers and tippees: Brokers’ pre-release of price-sensitive information to their VIP clients".

R


  • Rosenbaum M. and P. Tankov • "Asymptotically optimal discretization of hedging strategies with jumps".
  • Rosenbaum M., M. Hoffmann and N. Yoshida • "Estimation of the lead-lag parameter from non-synchronous data".
  • Rosenbaum M., S. Delattre and C. Y. Robert • "Estimating the efficient price from the order flow: a Brownian Cox process approach".
  • Royer J. • "Conditional asymmetry in ARCH(∞) models".

S


  • Saltiel D., E Benhamou • "Sélection efficace de variables par descente par coordonnée avec garanties théoriques". see more

T


  • T. Marta and F. Riva • "Do ETFs increase the co-movements of their underlying assets? Evidence from a switch in ETF replication technique".

X


  • Xiouros C., and P. Ehling • "Asset Pricing with Endogenous beta".

Z


  • Zoican M. • "Asset management at the zero-fee bound".