

Simulator Models for the Limit Order Book Dynamics and their Applications


Applications of Supervised Learning Algorithms to Forecast Day-ahead Electricity Prices

On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
Maximum likelihood estimation of the Markov-switching GARCH model based on a sequential recombinatio


Modeling and Simulation of High Frequency Features of Market Prices


On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk t
Multivariate Data-based Risk Measures


Trend Detection Using a Statistical Learning Algorithm: An Exercice in Algorithmic Trading

Identifying Structural Regime Changes with Self-Organizing Maps in Financial Markets


On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model