« Transformer for Time Series: An Application to the S&P500 » at FICC 2025

This joint work with Pierre Brugière has been presented at the at the 8th Future of Information and Communication Conference 2025 held in Berlin, 28-29 April 2025.

Talk materials:

Abstract : The transformer models have been extensively used with good results in a wide area of machine learning applications including Large Language Models and image generation. Here, we inquire on the applicability of this approach to financial time series. We first describe the dataset construction for two prototypical situations: a mean reverting synthetic Ornstein-Uhlenbeck process on one hand and real S&P500 data on the other hand. Then, we present in detail the proposed Transformer architecture and finally we discuss some encouraging results. For the synthetic data we predict rather accuratly the next move, and for the S&P500 we get some interesting results related to quadratic variation and volatility prediction.

Interview with radio « France Culture » on the ethics of generative AI

A short interview with Celine Loozen from ‘France Culture’ radio station within a radio program concerning AI and GAFAM ethics.

Link for the full radio broadcast

Interview with Celine Loozen : here (local version if necessary here)

« Reinforcement learning in finance: online portfolio allocation and policy gradient approaches, the Onflow algorithm », NANMATH nov 2023

This is a talk presented at Nanmath conference held Nov 6-9 2023 at ICTP, Cluj..

Talk materials (click to open or download): the Slides of the presentation, the ArXiv preprint and the Youtube VIDEO.

« Reinforcement learning in finance: portfolio allocation, value functions and policy gradients flows », ACDSDE conference sept 2023

This is a talk presented at ACDSDE conference held Sept 28-30 2023 at the Romanian Academy (Iasi station), Octav Mayer Institute of mathematics.

Talk materials: the slides of the presentation.

IA générative et société, M1 gestion, Université Paris Dauphine – PSL, sept 2023

Conférence « IA générative et société », tenue le 21 sept 2023 devant la promo de M1 2023/24, Université Paris – Dauphine PSL, coordinatrice Aurore HAAS.

DOCUMENT PRINCIPAL : les slides en pdf, suivre le lien.

Autres documents :

  • pour les 2 vidéos voir les liens dans le document pdf sinon directement les 2 liens youtube : vidéo 1, vidéo 2
  • pour le GIF utiliser ce lien.

« Reduced representation of non-linear manifolds », at « The Tenth Congress of the Romanian Mathematicians », Pitesti, June 30th- July 5th, 2023

Invited joint talk « Reduced representations of non linear manifolds: from reduced basis to (conditional) vector quantization of measures » at the Tenth Congress’s of the Romanian Mathematiciens held in Pitesti, Romania, June 30 to July 5th 2023

Talk materials: slides.