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Working paper

07.07.2020 - Working Paper

Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks

In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets. In particular, these synthetic data must preserve the first four statistical moments (mean, standard deviation, skewness and kurtosis), the stochastic dependence between the different dimensions (copula structure) and across time (autocorrelation function). The first part of the article reviews the more relevant generative models, which are restricted Boltzmann machines, generative adversarial networks, and convolutional Wasserstein models. The second part of the article is dedicated to financial applications by considering the simulation of multi-dimensional times series and estimating the probability distribution of backtest statistics. The final objective is to develop a framework for improving the risk management of quantitative investment strategies.

Edmond LEZMI, Jules ROCHE, Thierry RONCALLI, Jiali XU

Working paper

Working paper

28.05.2020 - Working Paper

Trajectory Monitoring in Portfolio Management and Issuer Intentionality Scoring

2°C alignment has become a major issue for climate-aware portfolio management. There are sophisticated initiatives aiming to predict corporate emission intensities from 2030 up to 2100.

Theo LE GUENEDAL, Julien GIRAULT, Mathieu JOUANNEAU, Fréderic LEPETIT, Takaya SEKINE

Working paper

Working paper

13.05.2020 - Working Paper

Did Globalization Kill Contagion?

Does financial globalization lead to contagion? We scrutinize linkages between international stock markets in a long historical perspective (1880-2014).

Olivier ACCOMINOTTI, Marie BRIERE, Aurore BURIETZ, Kim OOSTERLINCK, Ariane SZAFARZ

Working paper

Working paper

07.04.2020 - Working Paper

Credit Risk Sensitivity to Carbon Price

In order to meet the objectives set by the Paris Climate Agreement, global greenhouse gas emissions must be drastically reduced.

Vincent BOUCHET, Theo LE GUENEDAL

Slider 1280x400

Slider 1280x400

23.01.2020 - Working Paper

The green swan: Central banking and financial stability in the age of climate change

Climate change poses new challenges to central banks, regulators and supervisors. This book reviews ways of addressing these new risks within central banks’ financial stability mandate.

Patrick BOLTON, Morgan DESPRES, Luiz Awazu PEREIRA DA SILVA , Frédéric SAMAMA, Romain SVARTZMAN

Working paper

Working paper

19.12.2019 - Working Paper

A Note on Portfolio Optimization with Quadratic Transaction Costs

A Note on Portfolio Optimization with Quadratic Transaction Costs

Pierre CHEN, Edmond LEZMI, Thierry RONCALLI, Jiali XU

Working paper

Working paper

02.10.2019 - Working Paper

Machine Learning Optimization Algorithms & Portfolio Allocation

Machine Learning Optimization Algorithms & Portfolio Allocation

Thierry RONCALLI, Sarah PERRIN

Working paper

Working paper

30.09.2019 - Working Paper

Forecasting Combination: An Application For Exchange Rates

Forecasting Combination: An Application For Exchange Rates

Elisa BAKU, Edmond LEZMI

Working paper

Working paper

27.08.2019 - Working Paper

Do universal owners vote to curb negative corporate externalities? An empirical analysis of shareholder meetings

Do universal owners vote to curb negative corporate externalities? An empirical analysis of shareholder meetings

Marie BRIERE, Sébastien POUGET, Loredana URECHE-RANGAU

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