Development of quantitative management

Scientific project

The question of the regulation of systematic funds is one of the research themes favoured by the Research initiative. Whether in terms of market access or the contribution to systemic risk, these funds are now being singled out for criticism. Better transparency, better measurement of a fund’s contribution to systemic risk and a better understanding of contagion mechanisms are the basis for better regulation of this type of management.

The most important research topics addressed in the research initiative “Development of Quantitative Management” are the following:

Artificial Intelligence 

  • Statistical signal processing en trends detection
  • Big data, machine learning and the new sources of information
  • Momentum risk premia

Risk & Crowding

  • Risk disaggregation and portfolio allocation
  • Contagion and fund flows
  • Estimation risk for portfolios
  • Systemic risk and stress exercises
  • Alternative Risk Premia

Implementation challenges

  • Listed market liquidity
  • Algo and/or High frequency trading

 

1.Researchers:

QMI’s research team consists of 11 permanent researchers and 7 PhD students. In addition, international researchers contribute to QMI’s research on an ad hoc basis through calls for proposals. Two projects were launched in 2019 and were presented at QMI’s annual conference.

2. Research activities:

QMI’s research activity consists of working papers, ongoing funded projects, completed funded projects, published articles, books or book chapters. QMI’s research activity also includes PhD thesis writing. In 2020, 6 theses are in progress.

3. Dissemination of research:

QMI organises several events for the dissemination of research: Workshops or sessions at international conferences, an annual conference and round tables (see activity reports).

QMI researchers regularly participate in international conferences. A hackathon is also held once a year.

Scientific officers

Gaëlle  Le Fol
Gaëlle Le Fol
Professor, Université Paris-Dauphine and CREST See CV

Partenaires académiques

Partenaires économiques