Concept
Hypothèse des marchés financiers efficients
Publications associées (58)
Takeover Protections and Asset Prices
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 ...
Catonsville2024A bistable inhibitory optoGPCR for multiplexed optogenetic control of neural circuits
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 Portfolio2024Essays in Empirical Asset Pricing
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 ...
EPFL2022A machine learning approach to portfolio pricing and risk management for high-dimensional problems
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 ...
WILEY2022Covariance Estimation for Random Surfaces beyond Separability
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, andconsiderations of statistical and comp ...
EPFL2022Inference and Computation for Sparsely Sampled Random Surfaces
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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 INC2022SWEET-EDGE: Enabling Decentralized renewable Generation in the Alps
Michael Lehning, Jérôme François Sylvain Dujardin, Annelen Kahl
The overall EDGE objective is to fast-track the growth of locally-sourced decentralized renewable energy in Switzerland and to ensure that by 2035 and 2050, when ambitious shares of renewable energy are reached, the Swiss energy system is designed and oper ...
2022Informational frictions in financial markets
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 ...
EPFL2021COVID-19: data-driven dynamic asset allocation in times of pandemic
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-AIMS2021FEEdBACk: An ICT-Based Platform to Increase Energy Efficiency through Buildings’ Consumer Engagement
Energy efficiency in buildings can be enhanced by several actions: encouraging users to comprehend and then adopt more energy-efficient behaviors; aiding building managers in maximizing energy savings; and using automation to optimize energy consumption, g ...
2021