Investments Strategiessee research interests in Statistical Arbitrage, Information Theory, Statistical Learning, Computational Finance, ...

Risk Management: YATS Risk Managament Model for Hedge Funds to measure Value at Risk using the most suitable model (GARCH, Riskmetrics, Extreme Value Theory), optimizing risk adjusted performance measure (such as the Stutzer index, Hodges Generalied Sharpe Ratio, ...) under risk measures (drawdown, VaR, CVaR, ...)
Sample reports for Hedge Funds: Monthly Sample Report Weekly Sample Report

Automated Trading: RAPT: a powerful trading platform to develop automated trading solutions, featuring statistical arbitrage and artificial intelligence based strategies

Back Office and Front Office Information Systems: e-finance applications for investment banking and online brokerage: main references : information integration for Boursorama (ex Fimatex), decision aid tools for Fideuram Wargny, ...

Teaching: Quantitative Finance, Financial Risk Management, Hedg Funds, Econometry, Development, applications and Data Management