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MATS Seminar Spring 2024
MATS Seminar // 15 May 2024 // Collège de France The MATS Seminar will be held at Collège de France (11 place Marcelin Berthelot, Paris) on May 15, 2024. Detailed Provisional program For registration request and any information regarding the … Continue reading
The Fime Lab Summer School on Big Data & Finance
12-16 Jun 2023, Centre Paul Langevin, Aussois The aim of the Summer school is to review some aspects of quantitative methods applied to economics and finance. Particular emphasis will be placed on methods that make use of massive or high-dimensional data … Continue reading
Renouvellements de la Chaire FDD et du laboratoire FiME
Nous avons le plaisir d’annoncer le renouvellement de la Chaire FDD et de l’Initiative de Recherche « Laboratoire FiME », à partir du 1er janvier 2022 et pour 5 années supplémentaires. Ce renouvellement a été rendu possible par le soutien … Continue reading
Applications of Mean Field Games From Models to Practice
November 16-19, 2021, IMSI, Chicago The paradigm of Mean Field Games (MFG) has become a major connection between distributed decision-making and stochastic modeling. Starting out in the stochastic control literature, it is gaining rapid adoption across a range of industries. The … Continue reading
Journées-ateliers du Laboratoire FiME
22-23 septembre, 2021, EDF Lab, Palaiseau Des « Journées-ateliers » du laboratoire FiME ont eu lieu les 22 et 23 septembre dans les locaux d’EDF à Palaiseau et ont réuni environ 70 personnes sur deux jours.
Summer school on Distributed Control: Decentralization and Incentives
June 14-18, 2021, CIRM (Luminy, France) We are living in an era of technology explosion. While resources, products and information become increasingly accessible to common users, the individuals nowadays are more aware than ever of their own right, and more capable … Continue reading
The Role of Financial Investors in Commodity Futures Risk Premium
by Mohammad Isleimeyyeh I develop and test a theoretical model to study the interaction between the commodity and stock markets. The article attempts to clarify the debate between the two conflicting empirical opinions about the effect of the financialization on … Continue reading
The joint dynamics of spot and futures commodity prices
by Ivar Ekeland, Edouard Jaeck, Delphine Lautier & Bertrand Villeneuve We model the dynamic behavior of spot and futures commodity prices with an infinite horizon rational expectations equilibrium model. A new type of proof of existence of the equilibrium is … Continue reading
Conference on Commodities, Volatility, and Risk Management The Impacts of Trade Restrictions, Market Imperfections, and Green Finance
13-15 May 2019, Université Paris-Dauphine The conference will cover commodity pricing and risk management, viewed through the prisms of market imperfections and environmental concerns. The main focus is on agricultural and energy markets, with specific themes intended to shine light … Continue reading
Deep neural networks algorithms for stochastic control problems on finite horizon, part II: numerical applications
by Côme Huré, Huyên Pham, Achref Bachouch & Nicolas Langrené This paper presents several numerical applications of deep learning-based algorithms that have been analyzed in [Bachouch et al., 2018a]. Numerical and comparative tests using TensorFlow illustrate the performance of our … Continue reading
Deep neural networks algorithms for stochastic control problems on finite horizon, part I: convergence analysis
by Côme Huré, Huyên Pham, Achref Bachouch & Nicolas Langrené This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming (DP). Differently from the classical approximate DP approach, we first approximate the optimal policy … Continue reading
Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach
by Jordi Badosa, Emmanuel Gobet, Maxime Grangereau & Daeyoung Kim In this work, we derive a probabilistic forecast of the solar irradiance during a day at a given location, using a stochastic differential equation (SDE for short) model. We propose … Continue reading
Optimal electricity demand response contracting with responsiveness incentives
by René Aïd, Dylan Possamai & Nizar Touzi Despite the success of demand response programs in retail electricity markets in reducing average consumption, the literature shows failure to reduce the variance of consumers’ responses. This paper aims at designing demand … Continue reading
Conference “Advances in Modelling and Control for Power Systems of the Future”
Conference CAESARS 2018 September 5-7 2018 – EDF Lab, Palaiseau In electrical system, strong evolutions are under way that will change deeply the organisation of the whole sector in the short and long term horizon: quick development of renewable technology, volatile … Continue reading
“Des Mathématiques de la décision aux jeux à champ moyen”
Conférence en l’honneur de Jean-Michel Lasry 27 JUIN 2018 – Université Paris Dauphine #JML70 Le programme de la conférence en l’honneur de Jean-Michel Lasry pour son 70e anniversaire fait écho à la riche carrière scientifique de celui-ci, mêlant divers champs des mathématiques … Continue reading
Thematic Semester “Statistics for Energy Markets”
The large-scale development of renewable energy production prompts us to rethink the structure of the modelling of pricing processes and how we conceive financial risks in the energy markets. Because this development accentuates the impact on market prices of global … Continue reading
HJB Equations and Extensions of Classical Stochastic Control Theory
by Charafeddine Mouzouni These notes are a transcription of the course ”Equations de HJB et extensions de la théorie classique du contrôle stochastique”, given by P.-L. Lions at the Collège de France in 2016/2017. The course contains a few developments … Continue reading
Mean Field Games and Related Topics #4
Chiostro di S. Pietro in Vincoli, Rome June 14-16, 2017 Mean field games theory describes the equilibria in strategic interactions of a large number of rational agents. In the recent years, this research area has been rapidly spreading in several … Continue reading
PDE and Probability Methods for Interactions
Sophia Antipolis (France) – March 30-31, 2017 The conference PDE and Probability Methods for Interactions will be held at Inria, on the French Riviera, March 30-31, 2017. The goal of this conference is to exchange ideas on new trends in PDE … Continue reading
Volatility in electricity derivative markets: the Samuelson effect revisited
by Edouard Jaeck & Delphine Lautier This article proposes an empirical study of the Samuelson effect in electricity markets. Our motivations are twofold. First, although the literature largely assesses the decreasing pattern in the volatilities along the price curve in … Continue reading