DATA AND AI ARE CHANGING THE WAY ORGANIZATIONS THINK, DECIDE, AND ORGANIZE. IT’S TIME HUMANITIES, MANAGEMENT AND SOCIAL SCIENCES GET INVOLVED.
Metalab

NEWS

Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat. Duis aute irure dolor in reprehenderit in voluptate velit esse cillum dolore eu fugiat nulla pariatur. Excepteur sint occaecat cupidatat non proident, sunt in culpa qui officia deserunt mollit anim id est laborum.

EVENTS

RESEARCH

GIBBS FLOW FOR APPROXIMATE TRANSPORT WITH APPLICATIONS TO BAYESIAN COMPUTATION

[ARTICLE] This paper introduces a tractable approximation of a novel transport map that enhances sequential Monte Carlo samplers, showing significant performance gains at fixed computational complexity across various applications.

by Jeremy Heng (ESSEC Business School), Arnaud Doucet, Yvo Pokern

We show here how to build a tractable approximation of a novel transport map. Even when this ordinary differential equation is time‐discretised and the full conditional distributions are numerically approximated, the resulting distribution of mapped samples can be efficiently evaluated and used as a proposal within sequential Monte Carlo samplers. We demonstrate significant gains over state‐of‐the‐art sequential Monte Carlo samplers at a fixed computational complexity on a variety of applications.

[Please read the research paper here]

Research list
MULTIVARIATE VOLATILITY FORECASTS FOR STOCK MARKET INDICES

MULTIVARIATE VOLATILITY FORECASTS FOR STOCK MARKET INDICES

[ARTICLE] This study forecasts realized variance for major international stock market indices, incorporating jump, continuous, and option-implied variance components, using ...
DYNAMICS OF VARIANCE RISK PREMIA: A NEW MODEL FOR DISENTANGLING THE PRICE OF RISK

DYNAMICS OF VARIANCE RISK PREMIA: A NEW MODEL FOR DISENTANGLING THE PRICE OF RISK

[ARTICLE] This paper presents a dynamic model for the variance risk premium that separates the continuous component from jump impacts, ...
MINIMUM COST NETWORK DESIGN IN STRATEGIC ALLIANCES

MINIMUM COST NETWORK DESIGN IN STRATEGIC ALLIANCES

[ARTICLE] This paper investigates the impact of transaction costs on the viability of strategic alliances in service network design, highlighting ...
PROBABILISTIC FORECASTING OF BUBBLES AND FLASH CRASHES

PROBABILISTIC FORECASTING OF BUBBLES AND FLASH CRASHES

[ARTICLE] This paper proposes a near explosive random coefficient autoregressive model (NERC) to predict probabilities of bubbles and crashes in ...
Founded in 2020 by ESSEC Business School, The Metalab Institute for Artificial Intelligence, Data and Society helps organizations navigate and better understand the social, economic, cultural, and ethical impacts of AI and data

metalab@essec.edu

Learn more about the Metalab Institute

copyright © 2026 metalab Institute

arrow-right
Résumé de la politique de confidentialité

Ce site utilise des cookies afin que nous puissions vous fournir la meilleure expérience utilisateur possible. Les informations sur les cookies sont stockées dans votre navigateur et remplissent des fonctions telles que vous reconnaître lorsque vous revenez sur notre site Web et aider notre équipe à comprendre les sections du site que vous trouvez les plus intéressantes et utiles.