Recherche académique à emlyon business school
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A hybrid framework using explainable AI (XAI) in cyber-risk management for defence and recovery against phishing attacks
No full textInternational audience"Phishing and social engineering contribute to various cyber incidents such as data breaches and ransomware attacks, financial frauds, and denial of service attacks. Often, phishers discuss these attack vectors in dark forums. Further, the probability of phishing attacks and the subsequent loss suffered by the firm are highly correlated. In this context, we propose a hybrid framework using explainable AI techniques to assess cyber-risks generated from correlated phishing attacks. The first phase computes the probability of expert phishers within a community of similar attackers with varying expertise. The second phase calculates the probability of phishing attacks upon a firm even after it has invested in IT security and adopted regulatory steps. The third phase categorises phishing and genuine URLs using various machine-learning-based classifiers. Next, it estimates the joint distribution of phishing attacks using an exponential-beta distribution and quantifies the expected loss using Archimedean Copula. Finally, we offer recommendations for firms through the computation of optimal investments in cyber-insurance versus IT security. First, based on the risk attitude of a firm, it can use this explainable-AI (XAI) framework to optimally invest in building security into its enterprise architecture and plan for cyber-risk mitigation strategies. Second, we identify a long-tail phenomenon demonstrated by the losses suffered during most cyber-attacks, which are not one-off incidents and are correlated. Third, contrary to the belief that cyber-insurance markets are ineffective, it can guide financial firms to design realistic cyber-insurance products."<br/
Negative Tail Events, Emotions and Risk Taking
No full textInternational audienceWe design a novel experiment to assess investors' behavioural and physiological reactions to negative tail events. Investors who observed, without suffering from, tail events decreased their bids whereas investors suffering tail losses increased them. However, the increase in bids after tail losses was not observed for those who exhibited no emotional arousal. This suggests that emotions are key in explaining Prospect Theory prediction of risk seeking in the loss domain
Danse avec les marchés : trading algorithmique et émergence rythmique
No full textAbstract: This dissertation explores the intricate dynamics of information diffusion in high-frequency financial markets, where the transition from traditional floor trading to fully electronic platforms has dramatically reshaped the landscape. Our investigation is guided by three key research questions, each building upon the previous one to provide a comprehensive understanding of this evolving ecosystem. In Chapter 2, we embark on an empirical journey to uncover the rhythmic patterns of information dissemination in the stock market. Through a rigorous analysis of high-frequency trading data, we reveal a consistent pattern of information diffusion across all assets and several time periods. This pattern, characterized by an average of five events per cluster, resonates with similar rhythmic structures found in music and nature, suggesting a fundamental property of the market. We connect this observation to cognitive theories like Miller’s law and the El Farol bar problem, highlighting the potential for cognitive-like constraints in algorithmic interactions within financial markets. Chapter 3 probes the theoretical underpinnings of this observed market rhythm, exploring whether it arises from optimal information efficiency or operational constraints. By framing the market as an information channel and leveraging concepts from information theory and stochastic thermodynamics, we establish both a lower and upper bound on market reflexivity. The lower bound is dictated by the energetic costs of rapid information processing, while the upper bound is determined by the limits of information transmission capacity due to the noise introduced by algorithmic trading. We further propose a novel metric, Energy-Information Efficiency (EIE), to assess the balance between information processing and energetic costs in different stocks. We find that blue-chip stocks, often associated with high-frequency trading, are the most efficient under this metric. In Chapter 4, we turn our attention to the role of exchange heterogeneity in shaping information diffusion within fragmented markets. After calibrating it from empirical data, we demonstrate with an agent-based model that the diverse characteristics of exchanges, particularly their responsiveness, significantly influence market reflexivity. We find that highly reactive exchanges contribute to greater reflexivity, consistent with the optimal balance between channel capacity and energetic costs identified in Chapter 2. This highlights the importance of considering exchange speed when evaluating the impact of algorithmic trading on market efficiency. Overall, this dissertation offers a comprehensive exploration of information diffusion and price formation in high-frequency financial markets. Our findings contribute to the growing body of literature on market microstructure in the age of algorithmic trading, providing new insights into the complex interplay between market participants, technology, and information dynamics. The emergence of a consistent market rhythm, its theoretical underpinnings, and the role of infrastructure speed in shaping it, offer a novel perspective on the evolution and energetic impact of financial markets in the digital age.Cette thèse examine les dynamiques complexes de la diffusion de l'information sur les marchés financiers, marquées par une transition majeure du système de cotation à la criée vers des plateformes entièrement électroniques. Guidée par trois questions de recherche interdépendantes, notre étude vise à proposer une compréhension exhaustive de cet écosystème en évolution.Le chapitre 2 propose une exploration empirique pour établir un « modèle rythmique » de diffusion de l'information sur les marchés. Grâce à une analyse rigoureuse des données de trading à haute fréquence, nous démontrons une constance dans la diffusion de l'information, indépendamment de l'actif financier ou de l'année considérés. Ce modèle révèle que l'information se transmet en groupes de cinq événements en moyenne, rappelant des structures rythmiques observées dans la musique et la nature, et suggérant une propriété fondamentale du marché. Cette observation est reliée à des théories cognitives comme la loi de Miller et le problème d'El Farol, soulignant leur pertinence pour comprendre les mécanismes d'interaction algorithmique dans les marchés financiers.Le chapitre 3 se penche sur les bases théoriques de ce « rythme du marché », en questionnant si celui-ci découle d'une efficacité optimale de l'information ou de contraintes opérationnelles. En conceptualisant le marché comme un canal de communication, nous établissons des limites inférieure et supérieure à sa réflexivité, en exploitant des principes de la théorie de l'information et de la thermodynamique stochastique. La limite inférieure est contrainte par les coûts énergétiques liés au traitement rapide de l'information, tandis que la limite supérieure est limitée par le bruit introduit par le trading algorithmique, qui affecte la capacité de transmission de l'information. Nous introduisons également un nouvel indice, l'Energy-Information Efficiency (EIE), pour évaluer les coûts énergétiques du traitement de l'information, et observons que et constatons que les titres « blue chip », souvent associés au trading à haute fréquence, sont les plus efficients selon cette mesure.Dans le chapitre 4, nous explorons l'impact de l'hétérogénéité des plateformes d'échange sur la diffusion de l'information dans les marchés fragmentés. À travers une modélisation par agents, nous démontrons que les caractéristiques variées de ces plateformes, notamment leur réactivité, influencent significativement la réflexivité du marché. Nous constatons que les plateformes très réactives favorisent une réflexivité accrue, contribuant à l'équilibre optimal entre capacité du canal et coût énergétique identifié dans le chapitre précédent. Ce résultat souligne l'importance de prendre en compte les spécificités des plateformes lors de l'évaluation de l'impact du trading algorithmique sur l'efficience du marché.Globalement, cette thèse propose une exploration alternative de la diffusion de l'information et de la formation des prix sur les marchés financiers à haute fréquence. Nos résultats contribuent au corpus croissant de littérature sur la microstructure des marchés à l'ère du trading algorithmique, en offrant de nouvelles perspectives sur l'interaction complexe entre les acteurs du marché, la technologie et la dynamique de l'information. L'émergence d'un rythme de marché constant, ses fondements théoriques et le rôle des infrastructures dans sa formation proposent une nouvelle perspective sur l'évolution et l'impact énergétique des marchés financiers à l'ère numérique
Impact of belt and road initiative on supply chain resilience and sustainability in the agri-food industry
No full textInternational audienceThe Agri-food Supply Chain (AFSC) is characterized by overriding risks due to globalized and fragmented chains. Operations also lack consideration of sustainability and in particular environmental sustainability due to the threats posed by AFSC to resource availability and global warming. However, there is an obvious growing awareness to incorporate more sustainability and resilience into AFSC to keep up with the issues and challenges ahead. To move towards this, BRI seems to be a project that could have a notable impact. Many projects planned by BRI should affect all stages of the AFSC to improve the capacity of stakeholders. Through the quantitative and qualitative improvement of the factors of producers and infrastructure, the benefits seem to be considerable for the AFSC. The findings of the analysis of BRI’s impact of AFSC sustainability and resilience, for the time being, are quite mixed. BRI’s consideration of sustainability seems to be quite low while its impact on resilience is much more positive. The vision of this megaproject, however, requires a long-term analysis to determine whether the short-term costs will be offset in the long run.<br/
How Does Queueing Information in Pre-Sales Call Centers Affect Customer Repurchase Behavior
No full textInternational audienceWith the growth of mobile e-business, it has become common for customers to experience an explosion of instant desire to consume in a short period of time. Companies are harnessing this momentum, hoping to better capture, retain and convert these consumer desires into actual sales orders. Consequently, companies also need to use pre-sales call centers to provide the satisfied service and motivate more customers to repurchase, thereby increasing the revenue. The function of the call centers is updated from providing post-sales service to providing pre-sales consultation. In this regard, this paper examines the impact of delayed announcements consisting of queue information on customer repurchase behavior in pre-sales call centers. We classify the queuing information into no-information, part-information and full-information according to the level of information by constructing a simulation model. In the simulation experiments, some application scenarios are set up to describe the load of the call center. In all the given scenarios, we find out the full-information, which provides the delay time, is always the best. Moreover, the different methods for estimating the delay time to provide the full-information, namely LES, EA, EA2 and WA–LES, are compared. We find optimal announcements for the application scenarios set out in the time-varying scenario as well. Consequently, considering there exists certain cost for the company to make WA–LES announcements, while some call centers can only provide part-information instead, this paper investigates the impact of estimate bias on customer repurchase behavior and company revenue. Subsequently, the company revenue is further investigated in two extended experiments, where repurchase influence power and repurchase number are limited. The analysis ideas and simulation logic of this paper have good reference significance for e-commerce pre-sales call centers, and the suggestions for setting information levels in practice while considering customer repurchase behavior are also clearly given in the conclusion of the paper.<br/
Élection présidentielle 2022 : Autres modes de scrutin, autres résultats ?
No full textA survey using data representative of the French electorate, carried out as part of the2022 Voter Autrement operation, enables us to imagine what the outcome of the Frenchpresidential election would have been if the voting system had been different. A second survey, this time in situ and non-representative, comes to the same conclusion: the winner would have been the same, whether the voting method was the current one, approval voting, evaluation voting or majority judgment. Beyond this, our analyses lead to two new results. Firstly, our representative data show that the ranking of candidates remains fairly stable between the official vote and two of the multi-nominal votes tested. This convergence, which clearly breaks with the results usually observed in this type of experiment conducted in France since 2002, testifies to the evolution of French voters' perception of the candidates. On the other hand, we highlight the risk of strong discontinuities in the electoral results calculated with majority judgment.Une enquête sur données représentatives de la population des électeurs français menée dans le cadre de l'opération Voter Autrement 2022 permet d'imaginer quelle aurait été l'issue de l'élection présidentielle française si le mode de scrutin avait été différent. Une deuxième enquête, cette fois in situ et non représentative, aboutit à la même conclusion : le gagnant aurait été le même, que le mode de scrutin soit le mode de scrutin actuel, le vote par approbation, le vote par évaluation ou le jugement majoritaire. Au-delà, nos analyses conduisent à deux résultats nouveaux. D'une part, nos données représentatives permettent de montrer que le classement des candidats reste assez stable entre le vote officiel et deux des votes multi-nominaux testés. Cette convergence, qui rompt nettement avec les résultats habituellement observés dans le cadre de ce type d'expérimentations menées en France depuis 2002, témoigne de l'évolution de la perception des candidats par les votants français. D'autre part, nous mettons en évidence le risque de fortes discontinuités des résultats électoraux calculés avec le jugement majoritaire
Managing and Aggregating Group Evidence under Quality and Quantity Trade-offs
No full textInternational audienceTrade-offs between quality and quantity arise in an abundance of contexts concerning group decision making. With the starting point being that group members provide more accurate evidence when they are involved with fewer tasks, team managers often encounter the following dilemma: Should they assign their group members with many tasks (attempting to gather more evidence with lower quality), or with fewer tasks (aiming at receiving less, but more high-quality evidence)? Secondly, what is the optimal way to aggregate the collected evidence from a group, which may be contrasting and varying in accuracy? Should more weight be given to the more accurate group members, or to the larger number of those who provide the same answer? This topic is already studied within the mathematical framework of Terzopoulou and Endriss (2019). In this paper we complement it experimentally, by investigating to what extent people's decision-making patterns are in accordance with the optimal ones proposed by the normative model. Our findings suggest that people understand the task at hand and generally opt for optimal choices, especially in conflict-free cases. Still, a tendency towards overvaluing the importance of additional evidence, despite their accuracy, is observed; this translates into choosing options that align with the majority rule in aggregation problems
A matter of perspective : Technology contributions are assessed differently from manager and consumer perspectives
No full textInternational audienceWhile the value of adopting technology (vs human) to develop products and provide services has been extensively explored from the consumer’s standpoint, do managers fully comprehend how valuable technology is to consumers? This research reveals notable disparities between managers’ and consumers’ perceptions about the value of technology adoption. Seven studies ( N = 1,320) in different contexts show that people with a manager perspective perceive technology as a more valuable resource than those with a consumer perspective (studies 1A–D). These differences arise because managers place a higher value on the efficiency-related benefits of technology than consumers (study 2). To reduce the manager-consumer gap, highlighting technology-driven efficiency benefits for consumers can increase their technology valuation to the manager’s level (study 3). However, informing managers about consumers’ objections to technology failed to correct their overly optimistic assessments of technology contribution (study 4). Our findings attest to the importance of acknowledging the manager-customer gap when it comes to technological adoption. <br /
Finding money for Ukraine: the return of a Cold War financial tool
No full texthttps://www.justiceinfo.net/en/133354-finding-money-for-ukraine-return-cold-war-financial-tool.htmlTo eventually finance reparations, economic recovery, and especially the war effort in Ukraine, the European Union and G7 leaders seem agreed on using the windfall interest from Russian assets frozen by sanctions. But how? To understand, we need to look at players little known to the general public, write the authors of this article. These are the International Central Securities Depositories, or ICSDs. Born of the Cold War, they are back once again at the heart of geopolitical tensions