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Many natural systems continously exchange matter, energy or information with their surroundings. Due to these permanent fluxes that break time-reversal invariance, such systems are far from thermodynamic equilibrium and lie beyond the traditional principles of equilibrium statistical mechanics. For instance, the steady state of a conducting rod in contact with two reservoirs at different temperatures can not be accounted for by any of the classical ensembles of statistical mechanics. The quest for a unified approach to non-equilibrium behaviour, that would go far beyond linear response theory, has remained an open problem for many years. In the last decades, the discoveries of certain universal laws and exact solutions of paradigmatic models have unveiled some of the mysteries of non-equilibrium physics. In parallel, large deviation theory has emerged as an adequate framework to formulate general properties like the fluctuation relations, and variational principles such as the Macroscopic Fluctuation Theory of G. Jona-Lasinio and his collaborators. The goal of this talk is to present some of these concepts and to explain how the interplay of elegant integrability techniques, either quantum (Bethe Ansatz) or classical (inverse scattering method), has led to a quantitative understanding of non-equilibrium fluctuations at various levels: microscopic, mesoscopic and macroscopic.