Bio and contact


Guillaume SIMON, PhD

Resume : pdf
Linkedin Profile : here
SSRN Profile : here
Education

o 2007-2010 - PhD - « Endogeneity in Dynamic Processes and Inverse Problems in Finance»
University of Toulouse - advisor: Prof. Jean-Pierre Florens
Manuscript (pdf) - PhD Defense (pdf)
Defense: May 2011

o 2005/2006 – M.Sc. « Probability and Applications », University Paris VI
o 2005 – Graduated from the Institute of French Actuarees
o 2002/2005 – ENSAE, Paris - Finance and Actuarial Science

Certifications
Stanford - Coursera : Machine Learning (online certificate)

About...


I work as Research Manager for CFM (Capital Fund Management, Paris) since 2010.

I hold a PhD in Applied Mathematics from the University of Toulouse (France). My academic work was dealing with the modelling of endogeneity in dynamic contexts, more specifically for duration models. It has been applied to the particular case of Hedge Fund lifetimes observed in databases.

My fields of interest are theroretical econometrics, financial econometrics & statistics. More particularly I have been working and I am still interested in endogeneity and its practical applications, ill-posed inverse problems and their regularization,  duration models and nonparametric estimation.

On the practical side, my topics of research relate to statistical arbitrage, equity strategies and equity factors, portfolio allocation, capacity evaluation, machine learning, and time-series modelling. I'm also interested in other fields in finance such as Hedge Funds (performance evaluation, biases, drivers of funds' survival), portfolio analytics, execution costs, and impact modelling.

Aside from the financial topics, I am also very interested in sports statistics and sports economics.
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