My formal training and personal interests lie in the overlap between business (esp. finance), applied mathematics (including statistics) and computer science. A recent graduate from Bentley University’s doctoral program, I am now an assistant professor of finance in The Graduate School of Management at Clark University, Worcester, MA. My research interests include: Bayesian statistics and Bayesian econometrics, times series, hedge fund performance evaluation and replication, hedge fund systemic risk. While at Bentley, I received the Best PhD student in Business Award, 2007-2008.
My skills include among others mathematical and statistical modeling, especially time series analysis, Bayesian econometrics and optimization techniques. I also have experience in machine learning, both from an academic and from a practitioner’s point-of-view as I have consulted for a Boston-based quantitative hedge fund in using machine learning techniques to detect and create trading signals on commodities and equity futures from their proprietary data sets.
A native of Paris, France, I also hold an MSc (2005) in computer science and applied mathematics from INP Toulouse (ENSEEIHT) in France, as well as an MS (2005) in Financial Engineering and Modeling from Toulouse Business School (ESCT), ISAE-Supaero and the National Institute in Advanced Sciences of Toulouse (INSA).
Before coming to the United States to pursue my PhD, I worked for Société Générale Asset Management Alternative Investment on quantitative strategies and structured products (including, but not limited to, portfolio selection and pricing, interest rates modeling, risk analysis, econometric models for statistical arbitrage). While at Bentley University, I also taught several semesters of various courses in business statistics and financial markets.