Research

Publications

• "An Introduction to Contrarian Functional Trading", Preprint, 2020.

• “Cross Sectional Regression and Factor Investing: From Equity to Multi-Asset”, Preprint, 2020.

• "Integration of Macroeconomic Data into Multi-Asset Allocation with Machine Learning Techniques", SSRN, 2020.

• “Mathematical Recommendations to Fight Against COVID-19”, SSRN, 2020.

• "Integration of ESG in Asset Allocation", SSRN, 2019.

• “Introduction to risk parity and budgeting” (Chinese Version, author: Thierry Roncalli), China Finance Publishing House, 2016.

• “A Primer on Alternative Risk Premia”, Lyxor Working Paper Series, Lyxor Asset Management, 2016.

• "Hedge Funds in Strategic Asset Allocation", Lyxor White Paper Series, Lyxor Asset Management, 2014.

• "Measuring the Liquidity of ETFs: An Application to the European Market", The Journal of Trading, 9(3), 79-108, 2014.

• "Modelling Bid and Ask prices using constrained Hawkes processes : Ergodicity and scaling limit", SIAM J. Financial Mathematics, 5(1), pp. 99-136, 2014.

• "Price jump prediction in a limit order book", Journal of Mathematical Finance, 3(2), pp. 242-255, 2013.