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Concept

Hypothèse des marchés financiers efficients

Publications associées (29)

Takeover Protections and Asset Prices

Erwan Morellec

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

Informs2024

Dynamic Voxels Based on Ego-Conditioned Prediction: An Integrated Spatio-Temporal Framework for Motion Planning

Alexandre Massoud Alahi

Prediction is a vital component of motion planning for autonomous vehicles (AVs). By reasoning about the possible behavior of other target agents, the ego vehicle (EV) can navigate safely, efficiently, and politely. However, most of the existing work overl ...

IEEE Institute of Electrical and Electronics Engineers2024

A bistable inhibitory optoGPCR for multiplexed optogenetic control of neural circuits

Mauro Pulin

Information is transmitted between brain regions through the release of neurotransmitters from long-range projecting axons. Understanding how the activity of such long-range connections contributes to behavior requires efficient methods for reversibly mani ...

Nature Publishing Group2024

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Damir Filipovic

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...

WILEY2022

Covariance Estimation for Random Surfaces beyond Separability

Tomas Masák

This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, and considerations of statistical and com ...

EPFL2022

Inference and Computation for Sparsely Sampled Random Surfaces

Victor Panaretos, Tomas Rubin, Tomas Masák

Nonparametric inference for functional data over two-dimensional domains entails additional computational and statistical challenges, compared to the one-dimensional case. Separability of the covariance is commonly assumed to address these issues in the de ...

TAYLOR & FRANCIS INC2022

Informational frictions in financial markets

Erik Hapnes

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

EPFL2021

COVID-19: data-driven dynamic asset allocation in times of pandemic

Anna Timonina-Farkas

The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the ...

AMER INST MATHEMATICAL SCIENCES-AIMS2021

FANOK: Knockoffs in Linear Time

Quentin Rebjock

We describe a series of algorithms that efficiently implement Gaussian model-X knockoffs to control the false discovery rate on large-scale feature selection problems. Identifying the knockoff distribution requires solving a large-scale semidefinite progra ...

SIAM PUBLICATIONS2021

Oclussion-Aware Motion Planning at Roundabouts

Denis Gillet

In this work, we present a motion planning framework for automated vehicles to drive safely through intersections despite occlusions and the uncertain behavior of the surrounding vehicles. A context representation based on probably-free gaps is proposed as ...

2021

Non-myopic betas

Semyon Malamud

An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...

2018

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns

Vincent Jean Bogousslavsky

This thesis examines predictability and seasonality in the cross-section of stock returns. The first chapter, titled ``Infrequent Rebalancing, Return Autocorrelation, and Seasonality,'' shows that a model of infrequent rebalancing can explain specific pred ...

EPFL2017

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Time-dependent area-based pricing for multimodal systems with heterogeneous users in an agent-based environment

Nikolaos Geroliminis, Nan Zheng

In this paper, we investigate an area-based pricing scheme for congested multimodal urban networks with the consideration of user heterogeneity. We propose a time-dependent pricing scheme where the tolls are iteratively adjusted through a Proportional-Inte ...

Elsevier2016

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Magneto-optical plasmonic heterostructure with ultranarrow resonance for sensing applications

Giovanni Dietler, Serguei Sekatski

Currently, sensors invade into our everyday life to bring higher life standards, excellent medical diagnostic and efficient security. Plasmonic biosensors demonstrate an outstanding performance ranking themselves among best candidates for different applica ...

Nature Research2016

Space Odyssey - Efficient Exploration of Scientific Data

Anastasia Ailamaki, Thomas Heinis, Mirjana Pavlovic, Eleni Tzirita Zacharatou, Darius Sidlauskas

Advances in data acquisition—through more powerful supercomputers for simulation or sensors with better resolution—help scientists tremendously to understand natural phenomena. At the same time, however, it leaves them with a plethora of data and the chall ...

ACM2016

Security of Full-State Keyed Sponge and Duplex: Applications to Authenticated Encryption

Damian Vizár, Reza Reyhanitabar

We provide a security analysis for full-state keyed Sponge and full-state Duplex constructions. Our results can be used for making a large class of Sponge-based authenticated encryption schemes more efficient by concurrent absorption of associated data and ...

Springer2015

Publications associées (29)