We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making ...

Ph.D. Université Pierre-et-Marie-Curie - Paris VI and École Polytechnique 2015 France. Dissertation: Activité de marché et réactivité du prix à travers les ...

Thibault Jaisson joined Pictet Asset Management in 2015 and is a Senior Quantitative Analyst in the Quest team. Before joining Pictet, Thibault was a PhD ...

We present a modified version of the non parametric Hawkes kernel estimation procedure studied in arXiv:1401. 0903 that is adapted to slowly decreasing kernels.

Thibault Jaisson gratefully acknowledges financial support from the chair “Risques Financiers” of the Risk Foundation and the chair. “Marchés en Mutation” of ...

Deep differentiable reinforcement learning and optimal trading. Thibault JaissonPictet Asset Management Ltd, Geneva, SwitzerlandCorrespondencetjaisson@pictet.

Dec 5, 2023 · Ph.D. École Polytechnique 2015.

Citer. Thibault Jaisson. Market activity and price impact throughout time scales. Quantitative Finance [q-fin]. Ecole Polytechnique, 2015. English. ⟨NNT ...

Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that.