3 papers
q-fin.TR2025
From Glosten-Milgrom to the whole limit order book and applications to financial regulation
Weibing Huang, Sergio Pulido, Mathieu Rosenbaum +2
We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like…
stat.AP2025
Generation of Threat: Crediting football players for creating dangerous actions in an unbiased way
Ali Baouan, Sébastien Coustou, Mathieu Lacome +2
We introduce an innovative methodology to identify football players at the origin of threatening actions in a team. In our framework, a threat is defined as entering the opposing t…
stat.AP2025
An optimal transport based embedding to quantify the distance between playing styles in collective sports
Ali Baouan, Mathieu Rosenbaum, Sergio Pulido
This study presents a quantitative framework to compare teams in collective sports with respect to their style of play. The style of play is characterized by the team's spatial dis…