Thibault Jaisson
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View article: Volatility is Rough
Volatility is Rough Open
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of…
View article: Performance attribution of machine learning methods for stock returns prediction
Performance attribution of machine learning methods for stock returns prediction Open
We analyze the performance of investable portfolios built using predicted stock returns from machine learning methods and attribute their performance to linear, marginal non-linear and interaction effects. We use a large set of features in…
View article: Deep differentiable reinforcement learning and optimal trading
Deep differentiable reinforcement learning and optimal trading Open
In many reinforcement learning applications, the underlying environment reward and transition functions are explicitly known differentiable functions. This enables us to use recent research which applies machine learning tools to stochasti…
View article: Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes Open
We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has $L^1$ norm close to one and power law tail of the form $x^{-(1+α)}$, with $α\in(0,1)$. We in particular prove that when $α\in(1…
View article: Activitée de marché et réactivité du prix à travers les échelles
Activitée de marché et réactivité du prix à travers les échelles Open
This thesis tackles several issues raised by the multi-scale properties of financial data. Itconsists of four connected parts which can however be read independently.In the first part, we introduce the Rough Fractional Stochastic Volatilit…
View article: An introduction to econophysics and quantitative finance
An introduction to econophysics and quantitative finance Open
\n This paper gives an account of the talks given by the authors at the 2014 MAS conference\n in Toulouse. These talks present recent research in the field of econophysics and\n quantitative finance.\n
View article: Liquidity and Impact in Fair Markets
Liquidity and Impact in Fair Markets Open
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 strategies. We show that for any such fair market, there exists a martingale fair p…
View article: The different asymptotic regimes of nearly unstable autoregressive processes
The different asymptotic regimes of nearly unstable autoregressive processes Open
We extend classical results about the convergence of nearly unstable AR(p) processes to the infinite order case. To do so, we proceed as in recent works about Hawkes processes by using limit theorems for some well chosen geometric sums. We…