Labo MICS
3, rue Joliot-Curie
Gif-sur-Yvette, 91192
France
CentraleSupélec
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chatGPT, GPT, Sentiment, LLMs
sentiment analysis, ChatGPT, stock exchange, financial news
Google Trends, prediction, backtest, trading strategy
Sharpe ratio, drawdown total duration, robust estimation, efficiency, price records
Bounded rationality, heterogeneous agents, inductive behavior, minority game, stylized facts, minimal model
Economic growth, transition economies, GDP, modelling, prediction, optimal policy
Economic growth, GDP, shocks, response function, modelling, prediction, optimal policy
order flow, lead-lag, machine learning, prediction, networks
Hawkes process, Endogeneity, Order flow, Estimation
Adaptive Learning, El Farol Bar Problem, Minority Games, Market Impact, Adaptive Learning
ESG features; ESG data; sustainable investing; interpretable machine learning; model selection; asset management; equity returns;
trust, networks, sudden collapse, collective behavior, crisis, hysteresis, phase transition
auctions, US equities, linear response, imbalance, liquidity
Stylized Facts, Student Processes, Hyperbolic Distributions, Wiener Process Mixtures
Arbitrage, price impact functions, paradox, feed-back
Keywords Wisdom of the Crowd, Institutional Investors, Optimal Portfolios
Brokerage Data, Collective Behavior, Mean-Variance Portfolio, Non-Linear Transaction Costs, Turnover
bubbles, crash, prediction, log-periodic fits
Liquidity Coverage Ratio, Excess Liquidity, Monetary Policy, Interbank Network, Collateral Re-Use, Repurchase Agreements, Money Markets
Monetary Economics, Agent Based Model, Asset Purchase Program, liquidity stress test, Interbank network, Repo markets
Hawkes Processes, Goodness of Fit, Time Reversal
factor selection, clustering, lead-lag, prediction
Time Reversal Asymmetry, Statistically Validated Networks, Lead-Lag Networks
statistical finance, market microstructure
Liquidity Coverage Ratio, Excess Liquidity, Monetary Policy, Interbank Network, Collateral Re-use, Repurchase Agreements
market making, market microstructure, reinforcement learning, time travel, price impact
agent-based modelling, speculation, efficiency, minority game
El Farol, minority game, exact solution
