Julius Bonart is a postdoctoral research fellow in the CFM-Imperial Institute of Quantitative Finance, and was the first recipient of the CFM-Imperial Postdoctoral Fellowship in Quantitative Finance, awarded in 2014. In 2013-2014, Julius was a Postdoctoral Research Fellow at Capital Fund Management, Paris.
Julius holds a doctorate in Statistical Physics from the University Pierre-et-Marie Curie (Paris VI), a Master’s degree in Theoretical Physics from Ecole Normale Supérieure (Paris) and a BSc degree in Physics from the Johannes Gutenberg-Universität Mainz, Germany.
Dr. Bonart’s research interests include statistical order book models and optimal execution strategies, macro-economic mechanisms leading to economic crises and risk propagation through financial networks.
Jean-Philippe Bouchaud is Co-Director of the CFM-Imperial Institute of Quantitative Finance, President and Head of Research at CFM and Professor at Ecole Polytechnique.
Jean-Philippe was born in France in 1962. After studying at the French Lycée of London, he graduated from the Ecole Normale Supérieure in Paris, where he also obtained his PhD in physics. He was then appointed by the CNRS until 1992. After a year spent in the Cavendish Laboratory (Cambridge), he joined the Service de Physique de l’Etat Condensé (CEA-Saclay), where he worked on the dynamics of glassy systems and on granular media. He became interested in economics and theoretical finance in 1991.
His work in finance includes extreme risk models, agent based simulations, market microstructure and price formation. In 1994, he founded the company Science & Finance, which later merged with Capital Fund Management (CFM) in 2000. He was awarded the IBM young scientist prize in 1990 and the CNRS Silver Medal in 1996. He has published over 250 scientific papers and several books in physics and in finance.
Martin Gould is a James S. McDonnell Postdoctoral Fellow in the CFM-Imperial Institute of Quantitative Finance, which is part of the Department of Mathematics at Imperial College, London.
Martin holds a DPhil (PhD) in mathematics from the University of Oxford, Part III of the Mathematical Tripos from the University of Cambridge and a BSc (Hons) in mathematics from the University of Warwick. He was awarded the G-Research DPhil Scholarship in Quantitative Methods in 2014, for his work on quasi-centralized limit order books. He is also a lecturer on the Mathematical and Computational Finance MSc at the University of Oxford.
Martin’s current research interests span a wide variety of topics related to trading via electronic limit order books. He is particularly interested in understanding how macroscopic-scale phenomena (such as the spectral whiteness of returns) emerge from the microscopic-scale actions and interactions between individual traders. He is also interested in developing and implementing new tools for mining the massive data sets that real-world LOBs generate.
Charles-Albert Lehalle is Senior Research Advisor at Capital Fund Management (CFM) and a member of the CFM-Imperial Institute of Quantitative Finance. He was formerly Global Head of Quantitative Research at Crédit Agricole Cheuvreux, and Head of Quantitative Research on Market Microstructure in the Equity Brokerage and Derivative Department of Crédit Agricole Corporate Investment Bank.
With a Ph.D. in applied mathematics on stochastic processes, information theory and nonlinear control, Charles- Lehalle lectures at “Paris 6 (El Karoui) Master of Finance” (Ecole Polytechnique, ESSEC, Ecole Normale Supérieure) and MASEF/ENSAE one.
Since the financial crisis, Charles-Albert has studied market microstructure evolution and regulatory changes in Europe and the US, and has provided research and expertise on these topics to investors, intermediaries and policy-makers such as the European Commission, the French Senate and the UK Foresight Committee. He belongs to the Consultative Workgroup on Financial Innovation of the ESMA and to the Scientific Committee of the French regulator (AMF).
He has published many academic papers about the use of stochastic control and stochastic algorithms to optimize trading flows with respect to flexible constraints. He has also authored papers on post-trade analysis, market impact estimation and modelling the dynamics of limit order books. He also authored the book “Market Microstructure in Practice” and co-edited the book “Market Microstructure: Confronting Many Viewpoints”.