Speakers

Paul heads Euronext's Quant Research department that he created in 2020. His main area of research is Market Microstructure and Behavioural Finance on equities and FX. Prior to this he held the same position for seven years at Kepler Cheuvreux. Paul has twelve years' previous experience as a fund manager in quantitative arbitrage, both for hedge funds and long-only funds. Paul regularly presents papers at academic conferences and has authored various publications on Market Microstructure in applied journals. He has been a lecturer for a number of institutions, and still gives lectures for Paris Dauphine University. He has also authored an introductory MOOC on Market Microstructure with the College de France and the Institut Louis Bachelier. Paul graduated from ENSAE Paris.

Álvaro Cartea (Oxford)

Álvaro is Professor of Mathematical Finance in the Mathematical Institute, University of Oxford and director of the Oxford-Man Institute of Quantitative Finance. He is a founding member and deputy chairman of the Commodities & Energy Markets Association (CEMA). Álvaro obtained his doctorate from the University of Oxford in 2003. Álvaro’s research focuses on quantitative finance. He has worked extensively on algorithmic and high-frequency trading in financial markets. Recently, he is interested in the dynamics of learning and cooperation, and in the applications of machine learning in finance.

Mihai Cucuringu (Oxford)

Mihai is an Associate Professor in the Department of Statistics at University of Oxford. Previously, he was a CAM Assistant Adjunct Professor at the UCLA Dept. of Mathematics. He finished his Ph.D. in Applied Mathematics at Princeton University in 2012. His research pertains to the development and mathematical analysis of algorithms that extract information from massive noisy data sets, network analysis and certain inverse problems on graphs, such as clustering and ranking, with an eye towards extracting structure from time-dependent data which can be subsequently leveraged for prediction. His research interests in finance focus on statistical arbitrage, machine-learning for asset pricing, market microstructure in equity and crypto markets, synthetic data generation, and anomaly detection in financial networks.

Thierry Focault (HEC)

Thierry Foucault is HEC Foundation Chaired Professor of Finance at HEC, Paris and a research fellow of the Centre for Economic Policy (CEPR). His research focuses on the liquidity of financial markets, their industrial organization, and their effect on the real economy. He has received, in 2021, an Advanced European Research Council (ERC) grant for conducting research on the effects of big data and artificial intelligence on financial markets. His research is published in leading scholarly journals in financial economics, including the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. He is co-managing editor of the Journal of Financial and Quantitative Analysis and an Associate editor of the Journal of Finance and the Journal of Economic Theory. He is a former co-editor of the Review of Asset Pricing Studies and the Review of Finance. He also serves on the scientific committees of the French securities markets authority (AMF) and chairs the Norges Bank's Academic Program. He co-authored “Market Liquidity: Theory, Evidence, and Policy” published by Oxford University Press.

Olivier Guéant (Sorbonne)

Olivier Guéant is Full Professor of Applied Mathematics at Université Paris 1 Panthéon-Sorbonne and Adjunct Professor of Quantitative Finance at ENSAE. He leads the team "Modélisation Financière" at the Centre d'Economie de La Sorbonne. He uses statistical methods and stochastic optimal control tools to address quantitative questions related to optimal execution, portfolio management, and market making. In particular he developed market making models for dealers on OTC markets (notably in FX and corporate bonds markets). He was awarded the Rosemont-Demassieux Prize for his PhD on mean field games in 2010, the EIF/FBF prize for the best paper in finance in 2016 along with Charles-Albert Lehalle and received earlier this year the IEF/Scor award: Best Young Researcher in Finance and Insurance.

Albert ("Pete") Kyle (Maryland)

Albert S. (Pete) Kyle has been the Charles E. Smith Chair Professor of Finance at the University of Maryland’s Robert H. Smith School of Business since 2006. He earned his B.S. degree in mathematics from Davidson College (summa cum laude, 1974), studied philosophy and economics at Oxford University as a Rhodes Scholar from Texas (Merton College, 1974-1976, and Nuffiled College, 1976-1977), and completed his Ph.D. in economics at the University of Chicago in 1981. He has been a professor at Princeton University (1981-1987), the University of California Berkeley (1987-1992), and Duke University (1992-2006).

Kyle’s research focuses on market microstructure, including topics such as high frequency trading, informed speculative trading, market manipulation, price volatility, the informational content of market prices, market liquidity, and contagion.

His teaching interests include market microstructure, institutional asset management, venture capital and private equity, corporate finance, option pricing, and asset pricing.

He is a Fellow of the American Finance Association in (2013) and a Fellow of the Econometric Society (2002). He has been a board member of the American Finance Association (2004-2006). He holds an honorary doctoral degree from the Stockholm School of Economics (2013). He was a staff member of the Presidential Task Force on Market Mechanisms (Brady Commission, 1987), a consultant to the SEC (Office of Inspector General), CFTC, and U.S. Department of Justice, a member of NASDAQ’s economic advisory board (2004-2007), a member of the FINRA economic advisory board (2010-2014), and a member of the CFTC’s Technology Advisory Committee (2010-2012).

Victor Le Coz (CFM and Ecole Polytechnique)

Victor worked for a couple years at the European Central Bank on stress testing models and in the financial industry on pricing derivatives models. He started is PhD at the Econophysics Chair of Ecole Polytechnique in 2021. His research focuses on understanding the microeconomic foundations of interest rate curve dynamics, using agent based models of the banking system and market microstructure approaches.

Fabrizio Lillo (Bologna)

Fabrizio Lillo is Full Professor of Mathematical Methods for Economics and Finance at the University of Bologna (Italy) and since July 2020 he holds the chair in Financial Mathematics at the Scuola Normale Superiore in Pisa on the project "Microstructure of Financial Markets - Networks and Systemic Risk". Formerly he was Associate Professor of Mathematical Finance at the Scuola Normale Superiore where he led the Quantitative Finance group. He has been also a postdoc, external faculty and professor at the Santa Fe Institute (USA). He received the PhD in Physics at the University of Palermo (Italy) where he was also Assistant Professor.

Ciamac Moallemi (Columbia)

Ciamac C. Moallemi is William von Mueffling Professor of Business in the Decision, Risk, and Operations Division and the director of the Briger Family Digital Finance Lab at the Graduate School of Business at Columbia University, where he has been since 2007. A high school dropout, he received S.B. degrees in Electrical Engineering & Computer Science and in Mathematics from the Massachusetts Institute of Technology (1996). He studied at the University of Cambridge, where he earned a Master of Advanced Study degree in Mathematics (Part III of the Mathematical Tripos), with distinction (1997). He received a Ph.D. in Electrical Engineering from Stanford University (2007). Prior to his doctoral studies, he developed quantitative methods in a number of entrepreneurial ventures: as a partner in a $200 million fixed-income arbitrage hedge fund and as the director of scientific computing at an early-stage drug discovery start-up. He holds editorial positions at the journals Operations Research and Management Science. He is a past recipient of the British Marshall Scholarship (1996), the Benchmark Stanford Graduate Fellowship (2003), first place in the INFORMS Junior Faculty Paper Competition (2011), and the Best Simulation Publication Award of the INFORMS Simulation Society (2014). Aside from his academic work, he regularly consults for fintech companies. His research interests are in the development of mathematical and computational tools for optimal decision making under uncertainty, with a focus on applications areas including market microstructure, quantitative and algorithmic trading, and blockchain technology.

Roel Oomen (Deutsche Bank)

Roel is the global head of FIC quantitative trading at Deutsche Bank. He started his industry career as a quant in electronic cash equity trading in 2006, and subsequently held various roles in electronic FX spot trading, including co-head of the business. Roel holds a PhD in econometrics, is a senior research fellow at the London School of Economics, and has published widely on the econometric analysis of high frequency data and FX trading.

Barbara Rindi (Bocconi)

Barbara is an Associate Professor of Economics at Bocconi University, where she is a Fellow of the Innocenzo Gasparini Institute for Economics Research (IGIER) and of Baffi Carefin. Her work has been published in a number of academic journals, including the Journal of Financial Economics, Management Science, the Review of Finance, and the Journal of Financial Intermediation. She co-authored The Microstructure of Financial Markets, a textbook published by Cambridge University. Barbara is an Associate Editor of the Journal of Financial Markets and also acts as supervisor for several Internal (IGIER) Internships where she introduces students to research.

Mathieu Rosenbaum (École Polytechnique)

Mathieu Rosenbaum is a full professor at École Polytechnique, where he holds the chair “Analytics and Models for Regulation” and is co-head of the quantitative finance (El Karoui) master program. His research mainly focuses on statistical finance problems, regulatory issues and risk management of derivatives. He published more than 80 articles on these subjects in the best international journals and supervised about 20 PhD students. He is notably an expert on the quantitative analysis of market microstructure and high frequency trading. He is also at the origin (with Thibault Jaisson and Jim Gatheral) of the development of rough volatility models. Mathieu Rosenbaum has collaborations with various financial institutions (investment banks, hedge funds, regulators, exchanges...), notably BNP-Paribas since 2004. He also has several editorial activities as he is one of the editors in chief of the journal “Market Microstructure and Liquidity“ and is associate editor for 10 other journals. He received the Europlace Award for Best Young Researcher in Finance in 2014, the European Research Council Grant in 2016, the Louis Bachelier prize in 2020 and the Quant of the Year award in 2021.

Dimitri Vayanos (LSE)

Dimitri Vayanos is Professor of Finance at the London School of Economics, where he also directs the Paul Woolley Centre for the Study of Capital Market Dysfunctionality. He received his undergraduate degree from Ecole Polytechnique in Paris and his PhD from MIT. Prior to joining the LSE, he was faculty member at Stanford and MIT. His research, published in leading economics and finance journals, such as Econometrica, the Journal of Finance, the Journal of Financial Economics, the Journal of Political Economy, the Quarterly Journal of Economics, the Review of Economic Studies, and the Review of Financial Studies, focuses on what drives financial market liquidity, why asset prices can deviate from assets' fundamental values, and what the implications of imperfect financial markets are for asset management, financial regulation, monetary policy and the macroeconomy. He is a Fellow of the British Academy, a Fellow of the Finance Theory Group, a Research Fellow at CEPR and a former Director of its Financial Economics program, a Research Associate at NBER, a former Director and Managing Editor of the Review of Economic Studies, and a former Director of the American Finance Association.

Wei Xiong (Oxford)

Wei Xiong is a PhD student at Mathematical Institute in University of Oxford. His research interest focuses on application of reinforcement learning algorithms in quantitative finance. Before coming to Oxford, Wei has worked as a quant research associate in Market Risk QR, JP Morgan between 2018 and 2020. Wei holds a Grande Ecole degree from Mines ParisTech and master's degree in quantitative finance (M2MO) from Université Paris Cité. Wei was awarded the Natixis Prize 2019 for Best Master's Thesis in Quantitative Finance.