Category Archives: Working Papers
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
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
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
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
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
A Long-Term Mathematical Model for Mining Industries
by Yves Achdou, Pierre-Noel Giraud, Jean-Michel Lasry & Pierre-Louis Lions A parcimonious long term model is proposed for a mining industry. Knowing the dynamics of the global reserve, the strategy of each production unit consists of an optimal control problems … Continue reading
Negotiated Red Zones Around Hazardous Plants
by Céline Grislain-Letrémy & Bertrand Villeneuve The industrialists are liable for any damage they cause to neighboring households. Consequently, households do not have to pay for the risk they create by locating in exposed areas. To contain their liabilities, the firm can … Continue reading
Natural Disasters, Land-Use, and Insurance
by Céline Grislain-Letrémy & Bertrand Villeneuve This paper addresses the urbanization of areas exposed to natural disasters and studies its dependency on land-use and insurance policies. The risk-map paradox that we describe explains why an insurance system with simplistic maps … Continue reading
Les communs numériques : éléments d’économie politique
par Henri Verdier & Charles Murciano Cet article interroge l’actualité intellectuelle et légale des communs. Plus précisément, notre travail explore la notion de commun numérique (ou informationnel) et ses spécificités au regard du concept classique de communs en théorie économique. Les … Continue reading
The digital commons: a political and economic game-changer
by Henri Verdier and Charles Murciano This paper addresses the current intellectual and legal status of the commons. Specifically, we explore the notion of the digital (or information) commons and its specificities with regard to the classic concept of the commons … Continue reading
Resource Conservation Across Generations in a Ramsey-Chichilnisky Model
by Geir B. Asheim & Ivar Ekeland The Chichilnisky criterion is an explicit social welfare function that satisfies compelling conditions of intergenerational equity. However, it is time inconsistent and has no optimal solution in the Ramsey model. By investigating stationary Markov equilibria in … Continue reading
Optimal Pits and Optimal Transportation
by Ivar Ekeland and Maurice Queyranne In open pit mining, one must dig a pit, that is, excavate the upper layers of ground before reaching the ore. The walls of the pit must satisfy some mechanical constraints, in order not to … Continue reading
Probabilistic Representation of a Class of Non Conservative Nonlinear Partial Differential Equations
by Anthony Lecavil, Nadia Oudjane & Francesco Russo We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We discuss existence and uniqueness pathwise and in law … Continue reading
Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices
by Delphine Lautier, Franck Raynaud & Michel A. Robe We apply the concepts of conditional entropy, information transfers and directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North … Continue reading
Integration of commodity derivative markets: Has it gone too far?
by Delphine Lautier, Julien Ling and Franck Raynaud We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These crises are “external” to the commodity markets because they occurred in … Continue reading
Explicit investment rules with time-to-build and uncertainty
by René Aïd, Salvatore Federico, Huyên Pham & Bertrand Villeneuve We establish explicit socially optimal rules for an irreversible investment decision with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and … Continue reading