Concept

Modélisation financière

Publications associées (92)

Using automated design appraisal to model building-specific devaluation risk due to land-use change

Uncertainty of spillover effects – including property devaluation - from proposed land-use change elicits opposition to local development. This hinders cities’ ability to implement land-use policy aimed at housing affordability and environmental sustainabi ...

2024

Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk Due to Local Development

Adam Robert Swietek

Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...

2023

Territorial reading in Ukraine’s recovery policy: conceptual and methodological gaps

Iegor Vlasenko

Approaches to Ukraine’s wartime and anticipated post-war reconstruction and recovery, united under a general slogan of ‘build back better’, are currently reflected in multiple policies, regulations, planning tools and data registers, as well as showcased t ...

2023

Higher-order organization of multivariate time series

Enrico Amico, Andrea Santoro

Time series analysis has proven to be a powerful method to characterize several phenomena in biology, neuroscience and economics, and to understand some of their underlying dynamical features. Several methods have been proposed for the analysis of multivar ...

NATURE PORTFOLIO2023

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

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 ...

EPFL2022

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...

EPFL2022

Conditional Synthetic Financial Time Series with Generative Adversarial Networks

The creation of high fidelity synthetic data has long been an important goal in machine learning, particularly in fields like finance where the lack of available training and test data make it impossible to utilize many of the deep learning techniques whic ...

2022

Freezing-induced stiffness and strength anisotropy in freezing clayey soil: Theory, numerical modeling, and experimental validation

Gioacchino Viggiani

This paper presents a combined experimental-modeling effort to interpret the coupled thermo-hydro-mechanical behaviors of the freezing soil, where an unconfined, fully saturated clay is frozen due to a temperature gradient. By leveraging the rich experimen ...

WILEY2022

Asset Pricing and Monetary Policy

Nicolas Gauderon

Classical theory asserts that the formation of prices is the result of aggregated decisions ofeconomics agent such as households or corporation. However central banks are very importantagents that have often been neglected in asset pricing models. Central ...

EPFL2022

A Benders decomposition for maximum simulated likelihood estimation of advanced discrete choice models

Michel Bierlaire, Claudia Bongiovanni

In this paper, we formulate a mixed integer linear program (MILP) for the simulated maximum likelihood estimation (MLSE) problem and devise a Benders decomposition approach to speed up the solution process. This framework can be applied to any advanced dis ...

2022

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