I'm a mathematician (PhD on stochastic and nonlinear control using artificial neural networks, directed by Pr Robert Azencott).
I'm the main author of OCAMAWEB (an ongoing version is available here: OCAMAWEB) which is a literate programming tool in ocaml. I initially built it for Matlab code. Now it has configurations files to work with awk, SAS, S-plus, and a lot of other languages.
I worked :
- 4 years at the Renault Research Center - as Research Engineer
- 5 years at MIRIAD Technologies (French SME dedicated to online diagnosis and monitoring of huge dataflows) - as Head of the algorithmic devlopments and advanced studies
- 2 years at EXANE-BNP-PARIBAS in the Trading & Arbitrage research team
Now I work at CA Cheuvreux (CALYON group) as head of the quantitative research team. Our research are mainly focused on high frequency trading, statistical arbitrage, market microstructure and algorithmic trading.
I've got several blogs :
a list of my favorite sites :
some of my contributions on the internet:
- Most of my contributions to the matlab newsgroup.
- my fr.wikibooks home page.
- my en.wikibooks home page.
- my fr.wikipedia home page.
- my en.wikipedia home page.
- my literatePrograms.org home page
 Some points about LP.org
 On going articles
My articles are mainly linked to:
 ToDo List
- templates for users community and article
- use the template Go to the article
- make a Matlab download function pointing to Special:Downloadcode
 My contributions
- Swiss army knife MATLAB programs for quantitative finance
- Monte Carlo simulations
- Literate programming tools (MATLAB)
- Simple economic model (MATLAB)
- Functional object (MATLAB)
- TimeSeries and TimeSeries Collections (MATLAB)
- Asian Option Pricing (MATLAB) following Jan Vecer's work
- MATLAB Thomson Financial DataStream data access
- MATLAB Financial Toolbox: at this stage only some informations on candlestick and highlow graphs
- Plots in MATLAB: some simple examples
- Matlab regressions: to be continued
- Miscellaneous tips for MATLAB
- Story telling
- Probability distributions (MATLAB)
Do not forget to check the popular pages.
Here on LP I'm now a sysop, and am happy to help with anything that needs sysop powers.
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