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Membres
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BRANDOUY Olivier
Professeur
Courriel : brandouy.iae@univ-paris1.fr
Page perso : http://brandouy.free.fr
Domaines de spécialisation / Specialization fields :
  • Finance de marché
Domaines d'intérêt complémentaires :
  • Agent-Based Computational Finance
  • Microstructure
Publications :

    Ouvrages / Books
  • B.BEAUFILS, O.BRANDOUY, P.MATHIEU (2005), « Artificial Economics : Agent-Based Methods in Finance, Game Theory and their Applications, Lectures Notes in Economic and Mathematical Systems », Springer Ed.

    Chapitres d'ouvrages / Chapters in books
  • O.BRANDOUY, P.MATHIEU, I.VERYZHENKO (2012), « Optimal Portfolio Diversification? A multi-agent Ecological Competition Analysis », Highlihts on Practical Applications of Agents and Multi-Agent SystemsSpringer
  • O.BRANDOUY, K.KERSTENS, I.VAN DE WOESTYNE (2012), « Backtesting super-fund portfolio strate- gies founded on frontier-based mutual fund ratings », Efficiency and Productivity Growth in the Financial Services IndustryJohn Wiley and Sons, in (dir). Fotios Pasiouras
  • O.BRANDOUY, P.MATHIEU, I.VERYZHENKO (2011), « On the Design of Agent-Based Artificial Stock Markets », Communications in Computer and Information ScienceSpringer
  • I.VERYZHENKO, P.MATHIEU, O.BRANDOUY (2010), « Agent?s minimal in- telligence calibration for realistic market dynamics », Progress in Artificial Economics, Lecture Notes in Economic and Mathematical SystemsSpringer
  • O.BRANDOUY, P.MATHIEU, I.VERYZHENKO (2009), « Gauging Agent-Based Trading of a Single Financial Asset. Definition of an Absolute Distance to the Best Behaviour », Lecture Notes in Economics and Mathematical SystemsSpringer

    Articles
  • O.BRANDOUY, W.BRIEC, K.KERSTENS, I.VAN DE WOESTYNE (2010), « "Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator" », Journal of Banking and Finance, 34, pp. 1899?1910
  • B.BEAUFILS, O.BRANDOUY, L.MA , P.MATHIEU (2010), « Simuler pour comprendre : Une explication des dynamiques de marchés financiers par les systèmes multi-agents », Systèmes d'information et Management (SIM)
  • O.BRANDOUY, K.KERSTENS, I.VAN DE WOESTYNE (2009), « Exploring Bi-Criteria versus Multi-Dimensional Lower Partial Moment Portfolio Models », International Journal of Technology, Modeling and Management
  • B.BEAUFILS, O.BRANDOUY, B.DERVEEW, P.MATHIEU (2007), « L?apprort des SMA à la modélisation des marchés financiers », Revue d'Intelligence Artificielle, 21 (5-6), 617-641
  • O.BRANDOUY, P.MATHIEU (2006), « Les marchés financiers artificiels », Revue Française de Gestion
  • O.BRANDOUY (2005), « Stock Markets as Minority Games : Cognitive Heterogeneity and Equilibrium Emergence », Physica A, Statistical Mechanics and its applications, 349, 302-328

    Communications / Conference Papers
  • O.BRANDOUY, P.MATHIEU, I.VERYZHENKO (2012), « A multi-agent ecological competition analysis of strategy performance: Does risk aversion matter? », 17th Annual Workshop on Economic Heterogeneous Interacting Agents., University of Pantheon-Assas, Paris II ERMES - CNRS France, June 21-23, 2012
  • I.VERYZHENKO, P.MATHIEU, O.BRANDOUY (2011), « Key points for realistic agent-based financial market simulations », 3rd International Conference on Agents and Artificial Intelligence, Roma Italy
  • O.BRANDOUY, A.CORELLI, I.VERYZHENKO, R.WALDECK (2011), « Why Zero Intelligence Traders are not smart-enough for Quantitative Finance », The 7th European Social Simulation Association Conference, Montpellier France, September 19-23
  • O.BRANDOUY, P.MATHIEU (2010), « A Generic Architecture for Realistic Simulations of Complex Financial Dynamics », nternational Conference on Practical Applications of Agents and Multi-Agent Systems, Salamnca Spain
  • B.BEAUFILS, O.BRANDOUY, L.MA , P.MATHIEU (2009), « Simuler pour comprendre : Une explication des dynamiques de marchés financiers par les systèmes multi-agents », Association Française de Finance (AFFI), Brest France
Thèse soutenue à l'IAE de Paris
 

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