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Chair of Quantitative Finance

The Chair

The 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.

Starting in 2014 with the acquisition of the Factset database, a new trend of research has been initiated, pertaining to the understanding the interaction between capital structure, fundamental data and market behaviour. These new studies aim at a better understanding of the electronic markets by mixing vastly different time-scales, from quarterly to micro-second data.

In March 2013, the Chair has been certified by the Labex Louis Bachelier “Finance et Croissance Durable”.

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Chair of Quantitative Finance
Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes

9 rue Joliot-Curie
91190 Gif-sur-Yvette