The ChairThe BNP Paribas Chair of Quantitative Finance has been formally launched at École Centrale Paris – now CentraleSupélec – in October 2007. Its purpose is to maintain a research group dedicated to the empirical and theoretical study of financial markets, focusing in particular on market microstructure in order-driven markets. Our research spans along three main directions: empirical market microstructure; mathematical modelling in continuous time; numerical simulation of order books and trading strategies. This research is made possible thanks to huge databases – such as the Thomson-Reuters TRTH – that provide us with an invaluable environment for the conception, development and back-test of our models. In March 2013, the Chair has been certified by the Labex Louis Bachelier “Finance et Croissance Durable”.
Scientific councilThe scientific council of the chair meets every year to discuss and assess the research work done within the Chair. Its members are:
- Joe Bonnaud, Global head of quantitative research, BNP Paribas
- Jean-Philippe Bouchaud, Chairman, CFM
- Estelle Iacona, Dean of research, CentraleSupélec
- Grégoire Loeper, Researcher, BNP Paribas
- Gilles Pagès, Professeur, Laboratoire de probabilités et modèles aléatoires
- Jean-Jacques Rabeyrin, Head of equity derivatives quantitative research, BNP Paribas