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10 results on '"J. Lussange"'

1. Learning and Cognition in Financial Markets: A Paradigm Shift for Agent-Based Models

Author

Sacha Bourgeois-Gironde, J. Lussange, Boris Gutkin, Alexis Belianin, École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL), National Research University Higher School of Economics [Moscow] (HSE), Institut Jean-Nicod (IJN), Département d'Etudes Cognitives - ENS Paris (DEC), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-Collège de France (CdF (institution))-Centre National de la Recherche Scientifique (CNRS)-Département de Philosophie - ENS Paris, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL), and Vysšaja škola èkonomiki = National Research University Higher School of Economics [Moscow] (HSE)

Subjects
0303 health sciences, Computational economics, Hard and soft science, Computer science, business.industry, Multi-agent system, Field (Bourdieu), 05 social sciences, Big data, Financial market, 03 medical and health sciences, [SCCO]Cognitive science, Paradigm shift, 0502 economics and business, Reinforcement learning, 050207 economics, Positive economics, business, ComputingMilieux_MISCELLANEOUS, 030304 developmental biology
Abstract

The history of research in finance and economics has been widely impacted by the field of Agent-based Computational Economics (ACE). While at the same time being popular among natural science researchers for its proximity to the successful methods of physics and chemistry for example, the field of ACE has also received critics by a part of the social science community for its lack of empiricism. Yet recent trends have shifted the weights of these general arguments and potentially given ACE a whole new range of realism. At the base of these trends are found two present-day major scientific breakthroughs: the steady shift of psychology towards a hard science due to the advances of neuropsychology, and the progress of reinforcement learning due to increasing computational power and big data. We outline here the main lines of a computational research study where each agent would trade by reinforcement learning.

Published
2021

2. Modelling Stock Markets by Multi-agent Reinforcement Learning

Author

Stefano Palminteri, J. Lussange, Ivan Lazarevich, Sacha Bourgeois-Gironde, Boris Gutkin, École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL), Lobachevsky State University [Nizhni Novgorod], Institut Jean-Nicod (IJN), Département d'Etudes Cognitives - ENS Paris (DEC), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-Collège de France (CdF (institution))-Centre National de la Recherche Scientifique (CNRS)-Département de Philosophie - ENS Paris, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL), Higher School of Economics [Perm] (HSE), and National research university (MAI)

Subjects
050208 finance, Computer science, Multi-agent system, 05 social sciences, Economics, Econometrics and Finance (miscellaneous), Market microstructure, Industrial engineering, Stock market simulator, ComputingMethodologies_ARTIFICIALINTELLIGENCE, Computer Science Applications, [SCCO]Cognitive science, Stock exchange, 0502 economics and business, Market data, Order book, Financial modeling, Reinforcement learning, 050207 economics
Abstract

Quantitative finance has had a long tradition of a bottom-up approach to complex systems inference via multi-agent systems (MAS). These statistical tools are based on modelling agents trading via a centralised order book, in order to emulate complex and diverse market phenomena. These past financial models have all relied on so-called zero-intelligence agents, so that the crucial issues of agent information and learning, central to price formation and hence to all market activity, could not be properly assessed. In order to address this, we designed a next-generation MAS stock market simulator, in which each agent learns to trade autonomously via reinforcement learning. We calibrate the model to real market data from the London Stock Exchange over the years 2007 to 2018, and show that it can faithfully reproduce key market microstructure metrics, such as various price autocorrelation scalars over multiple time intervals. Agent learning thus enables accurate emulation of the market microstructure as an emergent property of the MAS.

Published
2020

3. A Bright Future for Financial Agent-Based Models

Author

J. Lussange, Alexis Belianin, Sacha Bourgeois-Gironde, and Boris Gutkin

Subjects
Finance, Computational economics, Computational neuroscience, Hard and soft science, business.industry, Field (Bourdieu), Big data, Neuroeconomics, Empiricism, Psychology, business, Realism
Abstract

The history of research in finance and economics has been widely impacted by the field of Agent- based Computational Economics (ACE). While at the same time being popular among natural science researchers for its proximity to the successful methods of physics and chemistry for example, the field of ACE has also received critics by a part of the social science community for its lack of empiricism. Yet recent trends have shifted the weights of these general arguments and potentially given ACE a whole new range of realism. At the base of these trends are found two present-day major scientific breakthroughs: the steady shift of psychology towards a hard science due to the advances of neuropsychology, and the progress of artificial intelligence and more specifically machine learning due to increasing computational power and big data. These two have also found common fields of study in the form of computational neuroscience, and human-computer interaction, among others. We outline here the main lines of a computational research study of collective economic behavior via Agent-Based Models (ABM) or Multi-Agent System (MAS), where each agent would be endowed with specific cognitive and behavioral biases known to the field of neuroeconomics, and at the same time autonomously implement rational quantitative financial strategies updated by machine learning. We postulate that such ABMs would offer a whole new range of realism.

Published
2018

4. Thermal Casimir force between nanostructured surfaces

Author

Serge Reynaud, Astrid Lambrecht, Romain Guérout, Ho Bun Chan, J. Lussange, Laboratoire Kastler Brossel (LKB (Jussieu)), Université Pierre et Marie Curie - Paris 6 (UPMC)-Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Centre National de la Recherche Scientifique (CNRS), Department of Physics [Hong Kong University of Science and Technology], Hong Kong University of Science and Technology (HKUST), Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS-PSL), and Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Université Pierre et Marie Curie - Paris 6 (UPMC)-Centre National de la Recherche Scientifique (CNRS)

Subjects
Surface (mathematics), Physics, Casimir pressure, Quantum Physics, Plane (geometry), FOS: Physical sciences, Function (mathematics), Grating, 01 natural sciences, Atomic and Molecular Physics, and Optics, 010305 fluids & plasmas, Casimir effect, Condensed Matter - Other Condensed Matter, Classical mechanics, [PHYS.QPHY]Physics [physics]/Quantum Physics [quant-ph], [PHYS.COND.CM-GEN]Physics [physics]/Condensed Matter [cond-mat]/Other [cond-mat.other], 0103 physical sciences, Thermal, Scattering theory, 010306 general physics, Quantum Physics (quant-ph), Other Condensed Matter (cond-mat.other)
Abstract

International audience; We present detailed calculations for the Casimir force between a plane and a nanostructured surface at finite temperature in the framework of the scattering theory. We then study numerically the effect of finite temperature as a function of the grating parameters and the separation distance. We also infer non-trivial geometrical effects on the Casimir interaction via a comparison with the proximity force approximation. Finally, we compare our calculations with data from experiments performed with nanostructured surfaces.

Published
2013

5. Radiative heat transfer between two dielectric nanogratings in the scattering approach

Author

Jean-Jacques Greffet, Serge Reynaud, J. Lussange, Felipe S. S. Rosa, Romain Guérout, Astrid Lambrecht, Laboratoire Kastler Brossel (LKB (Jussieu)), Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Université Pierre et Marie Curie - Paris 6 (UPMC)-Centre National de la Recherche Scientifique (CNRS), Laboratoire Charles Fabry / Naphel, Laboratoire Charles Fabry (LCF), Université Paris-Sud - Paris 11 (UP11)-Institut d'Optique Graduate School (IOGS)-Centre National de la Recherche Scientifique (CNRS)-Université Paris-Sud - Paris 11 (UP11)-Institut d'Optique Graduate School (IOGS)-Centre National de la Recherche Scientifique (CNRS), Université Pierre et Marie Curie - Paris 6 (UPMC)-Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Centre National de la Recherche Scientifique (CNRS), and Université Paris-Sud - Paris 11 (UP11)-Centre National de la Recherche Scientifique (CNRS)-Institut d'Optique Graduate School (IOGS)-Université Paris-Sud - Paris 11 (UP11)-Centre National de la Recherche Scientifique (CNRS)-Institut d'Optique Graduate School (IOGS)

Subjects
Materials science, Wave propagation, FOS: Physical sciences, Physics::Optics, 02 engineering and technology, Dielectric, Grating, 01 natural sciences, Displacement (vector), Optics, [PHYS.QPHY]Physics [physics]/Quantum Physics [quant-ph], 0103 physical sciences, Thermal, 010306 general physics, [PHYS.PHYS.PHYS-OPTICS]Physics [physics]/Physics [physics]/Optics [physics.optics], Quantum Physics, business.industry, Scattering, 021001 nanoscience & nanotechnology, Condensed Matter Physics, Electronic, Optical and Magnetic Materials, Condensed Matter - Other Condensed Matter, Thermal radiation, [PHYS.COND.CM-GEN]Physics [physics]/Condensed Matter [cond-mat]/Other [cond-mat.other], Quasiparticle, Quantum Physics (quant-ph), 0210 nano-technology, business, Other Condensed Matter (cond-mat.other)
Abstract

International audience; We present a theoretical study of radiative heat transfer between dielectric nanogratings in the scattering approach. As a comparision with these exact results, we also evaluate the domain of validity of Derjaguin's Proximity Approximation (PA). We consider a system of two corrugated silica plates with various grating geometries, separation distances, and lateral displacement of the plates with respect to one another. Numerical computations show that while the PA is a good approximation for aligned gratings, it cannot be used when the gratings are laterally displaced. We illustrate this by a thermal modulator device for nanosystems based on such a displacement.

Published
2012

6. The Casimir energy between nanostructured gratings of arbitrary periodic profile

Author

Romain Guérout, J. Lussange, Astrid Lambrecht, Laboratoire Kastler Brossel (LKB (Jussieu)), Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Université Pierre et Marie Curie - Paris 6 (UPMC)-Centre National de la Recherche Scientifique (CNRS), Université Pierre et Marie Curie - Paris 6 (UPMC)-Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS Paris), and Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Centre National de la Recherche Scientifique (CNRS)

Subjects
Physics, Quantum Physics, Physics::Optics, FOS: Physical sciences, 01 natural sciences, Atomic and Molecular Physics, and Optics, 010305 fluids & plasmas, Condensed Matter - Other Condensed Matter, Casimir effect, Classical mechanics, [PHYS.QPHY]Physics [physics]/Quantum Physics [quant-ph], [PHYS.COND.CM-GEN]Physics [physics]/Condensed Matter [cond-mat]/Other [cond-mat.other], 0103 physical sciences, 010306 general physics, Quantum Physics (quant-ph), Other Condensed Matter (cond-mat.other)
Abstract

We study the lateral dependence of the Casimir energy for different corrugated gratings of arbitrary periodic profile. To this end we model the profiles as stacks of horizontal rectangular slices following the profiles' shape and evaluate numerically the Casimir energy between them for different relative lateral displacements of the two corrugated plates. We compare our results with predictions obtained within the proximity force approximation (PFA). At comparable separation of the corrugated plates and geometric parameters, we find a strong dependence of the Casimir energy on the shape of the corrugation profiles., Comment: 8 pages, 8 figures

Published
2012
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7. Enhanced radiative heat transfer between nanostructured gold plates

Author

J. Lussange, Romain Guérout, Astrid Lambrecht, Felipe S. S. Rosa, Jean-Jacques Greffet, Jean Paul Hugonin, Diego A. R. Dalvit, Serge Reynaud, Laboratoire Kastler Brossel (LKB (Jussieu)), Université Pierre et Marie Curie - Paris 6 (UPMC)-Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Centre National de la Recherche Scientifique (CNRS), Laboratoire Charles Fabry / Naphel, Laboratoire Charles Fabry (LCF), Université Paris-Sud - Paris 11 (UP11)-Centre National de la Recherche Scientifique (CNRS)-Institut d'Optique Graduate School (IOGS)-Université Paris-Sud - Paris 11 (UP11)-Centre National de la Recherche Scientifique (CNRS)-Institut d'Optique Graduate School (IOGS), Theorical Division (LANL), Los Alamos National Laboratory (LANL), Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Université Pierre et Marie Curie - Paris 6 (UPMC)-Centre National de la Recherche Scientifique (CNRS), and Université Paris-Sud - Paris 11 (UP11)-Institut d'Optique Graduate School (IOGS)-Centre National de la Recherche Scientifique (CNRS)-Université Paris-Sud - Paris 11 (UP11)-Institut d'Optique Graduate School (IOGS)-Centre National de la Recherche Scientifique (CNRS)

Subjects
History, Nanostructure, Materials science, Energy transfer, Physics::Optics, FOS: Physical sciences, 02 engineering and technology, Grating, 01 natural sciences, Education, Optics, 0103 physical sciences, Radiative transfer, 010306 general physics, Plasmon, Quantum optics, Quantum Physics, [PHYS.PHYS.PHYS-OPTICS]Physics [physics]/Physics [physics]/Optics [physics.optics], Scattering, business.industry, Function (mathematics), 021001 nanoscience & nanotechnology, Condensed Matter Physics, Computer Science Applications, Computational physics, Electronic, Optical and Magnetic Materials, Thermal radiation, Heat transfer, Scattering theory, 0210 nano-technology, business, Quantum Physics (quant-ph), Physics - Optics, Optics (physics.optics)
Abstract

International audience; We compute the radiative heat transfer between nanostructured gold plates in the framework of the scattering theory. We predict an enhancement of the heat transfer as we increase the depth of the corrugations while keeping the distance of closest approach fixed. We interpret this effect in terms of the evolution of plasmonic and guided modes as a function of the grating's geometry.

Published
2012
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8. The Casimir force on a surface with shallow nanoscale corrugations: Geometry and finite conductivity effects

Author

Y. Bao, Ho Bun Chan, Astrid Lambrecht, Chien-Shing Pai, Raymond A. Cirelli, Romain Guérout, F.P. Klemens, J. Lussange, William M. Mansfield, Department of Physics [Gainesville] (UF|Physics), University of Florida [Gainesville] (UF), Laboratoire Kastler Brossel (LKB (Jussieu)), Université Pierre et Marie Curie - Paris 6 (UPMC)-Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Centre National de la Recherche Scientifique (CNRS), Bell Laboratories, Alcatel-Lucent, Bell Laboratories, Department of Physics [Hong Kong University of Science and Technology], Hong Kong University of Science and Technology (HKUST), Fédération de recherche du Département de physique de l'Ecole Normale Supérieure - ENS Paris (FRDPENS), École normale supérieure - Paris (ENS-PSL), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-École normale supérieure - Paris (ENS-PSL), and Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Université Pierre et Marie Curie - Paris 6 (UPMC)-Centre National de la Recherche Scientifique (CNRS)

Subjects
Physics, Surface (mathematics), Quantum Physics, Nanostructure, Silicon, 010308 nuclear & particles physics, Scattering, General Physics and Astronomy, chemistry.chemical_element, FOS: Physical sciences, Geometry, 01 natural sciences, Semimetal, Casimir effect, chemistry, [PHYS.QPHY]Physics [physics]/Quantum Physics [quant-ph], 0103 physical sciences, Scattering theory, 010306 general physics, Quantum Physics (quant-ph), Nanoscopic scale
Abstract

International audience; We measure the Casimir force between a gold sphere and a silicon plate with nanoscale, rectangular corrugations with depth comparable to the separation between the surfaces. In the proximity force approximation (PFA), both the top and bottom surfaces of the corrugations contribute to the force, leading to a distance dependence that is distinct from a flat surface. The measured Casimir force is found to deviate from the PFA by up to 15%, in good agreement with calculations based on scattering theory that includes both geometry effects and the optical properties of the material.

Published
2010

9. Mesoscale effects of trader learning behaviors in financial markets: A multi-agent reinforcement learning study.

Author

Lussange J, Vrizzi S, Palminteri S, and Gutkin B

Subjects
Machine Learning, Phenotype, Investments, Models, Economic
Abstract

Recent advances in the field of machine learning have yielded novel research perspectives in behavioural economics and financial markets microstructure studies. In this paper we study the impact of individual trader leaning characteristics on markets using a stock market simulator designed with a multi-agent architecture. Each agent, representing an autonomous investor, trades stocks through reinforcement learning, using a centralized double-auction limit order book. This approach allows us to study the impact of individual trader traits on the whole stock market at the mesoscale in a bottom-up approach. We chose to test three trader trait aspects: agent learning rate increases, herding behaviour and random trading. As hypothesized, we find that larger learning rates significantly increase the number of crashes. We also find that herding behaviour undermines market stability, while random trading tends to preserve it., Competing Interests: The authors have declared that no competing interests exist., (Copyright: © 2024 Lussange et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.)

Published
2024
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10. Casimir force on a surface with shallow nanoscale corrugations: geometry and finite conductivity effects.

Author

Bao Y, Guérout R, Lussange J, Lambrecht A, Cirelli RA, Klemens F, Mansfield WM, Pai CS, and Chan HB

Abstract

We measure the Casimir force between a gold sphere and a silicon plate with nanoscale, rectangular corrugations with a depth comparable to the separation between the surfaces. In the proximity force approximation (PFA), both the top and bottom surfaces of the corrugations contribute to the force, leading to a distance dependence that is distinct from a flat surface. The measured Casimir force is found to deviate from the PFA by up to 10%, in good agreement with calculations based on scattering theory that includes both geometry effects and the optical properties of the material.

Published
2010
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