GT
The GT — “Groupe de travail”, French for working group — is a biweekly informal meeting where the members of the Chair of Quantitative Finance discuss their latest results and the state of the art of the field. Researchers from other institutions are sometimes invited to join and present their findings. We share below some auxiliary material which supported presentations in these meetings- 28th August 2014: Matthieu Cristelli, “The heterogeneous dynamics of economic complexity”.
- 26th May 2014: Vladimir Filimonov, “Exogenous versus endogenous dynamics in price formation”.
- 09th September 2013: Alxander Subbotin and Omar El Hajjaji, “CVA with Wrong Way Risk: Sensitivities, Volatility and Hedging”.
- 25th June 2013: Lakshithe Wagalath, “Fire sales forensics”.
- 29th April 2013: Sophie Laruelle, “Nonlinear randomized urn models: a stochastic approximation viewpoint”.
- 18th March 2013: Fabio Caccioli, “Stability analysis of financial contagion due to overlapping portfolios”.
- 25th Frebruary 2013: Emmanuel Bacry, “Market impact: a point process approach”.
- 28th February 2013: Jean Pierre Nadal, “Don’t buy the house, buy the neighborhood”.
- 28th January 2013: Ahmed Bel Hadj, “Trend detection”.
- 17th December 2012: Jan Bulla, “Hidden (semi-)Markov models: Basics and more recent advances”.
- 22nd October 2012: Joao Batista, “Dynamics of Trust in Networks”.
- 27th September 2012: Sophie Laruelle, “Introduction to Stochastic Approximation Algorithms and Applications to Microstructure”.
- 20th June 2012: Jun-ichi Inoue, Visualization and prediction of financial crisis by cross-correlations in stocks.
- 13th June 2012: Imen Ben Tahar, “Dynamic vector valued risk measures”.
- 15th February 2012: Ban Zheng, “Spread Constrained Limit Order Book Hawkes Process”.
- 4th November 2010: Imre Kondor, “Regulating Complexity? Long range correlations in complex systems”.
- 14th August 2010: Srutarshi Pradhan, “Prediction of failure points in fracture models”.
- 29th June 2010: Kimmo Kaski, “Opinion and community formation in co-evolving network”.
- 27th May 2010: Bikas Chakrabarti, “Kinetic market models & their microeconomic foundation”.
- 12th May 2010: Bikas Chakrabarti, “Statistics of the Kolkata Paise restaurant problem”.
- 6th January 2010: Sylvain Corlay,”Fast algorithm for nearest neighbour search and clustering”.
- 4th November 2009: Andras Fulop, assistant professor at ESSEC, “Intra-daily patterns and transaction costs on the CDS market”.
- 9th September 2009: François Ghoulmié, PhD, research consultant, “Agent-based market modeling”.
- 1st to 3rd July 2009: Victor Yakovenko, “Statistical mechanics of money, income, and wealth: conservation laws, debt, and the current financial crisis”.
- 4th June 2009: Imre Kondor, “Issues surrounding the estimation of risk measures”.
- 3rd June 2009: Tuan Nguyen and Arbitragis‘ R&D team, “High frequency data and orderbook modeling”.
- 4th to 7th May 2009: Arnab Chatterjee, “On market crashes and granular economy”.
- 12th March 2009: Mauro Politi, “Empirical distribution of intertrade durations”.