I am a Full IVADO professor in the Department of Decision Sciences at HEC Montréal and Director of the MSc in Financial Engineering program. Trained in quantitative methods for finance, I have a keen interest in AI, machine learning, and natural language processing techniques for asset allocation, risk management, and economic forecasting. With my team, we develop tools and methods in R or Python and share them with the community to generate real-world impact! I serve as Associate Editor for the International Journal of Forecasting, the Journal of Statistical Software, and the R Journal. I am a Fellow of the Institut Louis Bachelier, an elected member of the ISI, a regular member or researcher at CIRANO, CRM, Fin-ML, GERAD, and Quantact, an associate researcher at OBVIA and the Penner Institute, and an instructor at DataCamp.

Prospective students

I supervise MSc students in their supervised projects (either within my team or in collaboration with an organization) or their thesis, provided they are enrolled at HEC Montréal. You can explore past projects here under the tab "Supervision." If you are interested in pursuing a PhD under my supervision, send me an email with your CV, university transcript, and a short paragraph outlining a research problem or question that interests you.

Research

• Value creation in the hedge fund industry, with Barras
• Optimal text-based time-series indices, R&R, with Bluteau [Code]
• Robust inference in large panels and Markowitz portfolios, R&R, with Sessinou [Code]
• Revisiting Boehmer et al. (2021): Recent period, alternative method, different conclusions, R&R, with Aymard & Cenesizoglu [Code]
• Examining high-frequency patterns in Robinhood users’ trading behavior, International Review of Financial Analysis 2025, with Aymard & Cenesizoglu [Code]
• Linking frequentist and Bayesian change-point methods, Journal of Business & Economic Statistics 2024, with Dufays & Ordas
• Efficient estimation of bid-ask spreads from open, high, low, and close prices, Journal of Financial Economics 2024, with Guidotti & Kroencke [Code/Data]
• Twitter and cryptocurrency pump-and-dumps, International Review of Financial Analysis 2024, with Bluteau [Data]
• Is it alpha or beta? Decomposing hedge fund returns when models are misspecified, Journal of Financial Economics 2024, with Barras, Scaillet & Gagligardini [Code]
• Thirty years of academic finance, Journal of Economic Surveys 2024, with Bluteau & Meghani [Code]
• Climate change concerns and the performance of green versus brown stocks, Management Science 2023, with Bluteau, Boudt & Inghelbrecht [Data]
• Factor exposure heterogeneity in green and brown stocks, Finance Research Letters 2023, with Bluteau, Lortie-Cloutier & Tran
• Media abnormal tone, earnings announcements, and the stock market, Journal of Financial Markets 2022, with Bluteau & Boudt
• How easy is it for investment managers to deploy their talent in green and brown stocks?, Finance Research Letters 2022, with Bluteau & Tran
• Properties of the Margrabe Best-of-two strategy to tactical asset allocation, International Review of Financial Analysis 2022, with Boudt, Hartmann & Nguyen
• The R package sentometrics to compute, aggregate, and predict with textual sentiment, Journal of Statistical Software 2021, with Bluteau, Borms & Boudt [Code]
• A century of economic policy uncertainty through the French-Canadian lens, Economics Letters 2021, with Bluteau & Kassem [Data]
• COVID-19 Data Hub, Journal of Open Source Software 2020, with Guidotti [Data]
• Econometrics meets sentiment: An overview of methodology and applications, Journal of Economic Surveys 2020, with Algaba, Bluteau, Borms & Boudt
• Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values, International Journal of Forecasting 2019, with Bluteau & Boudt [Data]
• Markov-switching GARCH models in R: The MSGARCH package, Journal of Statistical Software 2019, with Bluteau, Boudt, Catania & Trottier [Code]
• Regime changes in Bitcoin GARCH volatility dynamics, Finance Research Letters 2019, with Bluteau & Ruede
• Generalized autoregressive score models in R: The GAS package, Journal of Statistical Software 2019, with Boudt & Catania [Code]
• Forecasting risk with Markov-switching GARCH models: A large-scale performance study, International Journal of Forecasting 2018, with Bluteau, Boudt & Catania
• Methods for computing numerical standard errors: Review and application to Value-at-Risk estimation, Journal of Time Series Econometrics 2018, with Bluteau & Hoogerheide
• Beyond risk-based portfolios: Balancing performance and risk contributions in asset allocation, Quantitative Finance 2018, with Boudt & Nguyen
• The peer performance ratios of hedge funds, Journal of Banking & Finance 2017, with Boudt [Code]
• The impact of parameter and model uncertainty on market risk predictions from GARCH-type models, Journal of Forecasting 2017, with Kolly & Trottier
• The impact of covariance misspecification in risk-based portfolios, Annals of Operations Research 2017, with Bolliger, Boudt & Gagnon-Fleury
• A new bootstrap test for multiple assets joint risk testing, Journal of Risk 2017, with Gatarek & Hoogerheide [Code]
• nse: Computation of numerical standard errors in R, Journal of Open Source Software 2017, with Bluteau [Code]
• RiskPortfolios: Computation of risk-based portfolios in R, Journal of Open Source Software 2017, with Boudt & Gagnon-Fleury [Code]
• Stress-testing with parametric models and Fully Flexible Probabilities, Wilmott 2017, with Bluteau
• Smart beta and CPPI performance, Finance 2016, with Boudt & Wauters
• Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling, Insurance and Risk Management 2016, with Guerrouaz & Rey
• Moments of standardized Fernandez-Steel skewed distributions: Applications to the estimation of GARCH-type models, Finance Research Letters 2016, with Trottier
• The economic benefits of market timing the style allocation of characteristic-based portfolios, North American Journal of Economics and Finance 2016, with Boudt & Wauters
• Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock price, Econometrics 2016, with Gatarek & Hoogerheide
• A note on jointly backtesting models for multiple assets and horizons, Wilmott 2016, with Guerrouaz & Hoogerheide
• Predicting market risk with density combination: An introduction, Wilmott 2016, with Kolly
• Implied expected returns and the choice of a mean-variance efficient portfolio proxy, Journal of Portfolio Management 2015, with Boudt
• Testing equality of modified Sharpe ratios, Finance Research Letters 2015, with Boudt
• Parametric stress-testing in non-normal markets via entropy pooling, Risk Magazine 2015, with Meucci
• GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecast, Economics Letters 2014, with Hoogerheide
• Quantitative portfolio construction and systematic trading strategies using factor entropy pooling, Risk Magazine 2014, with Colasante & Meucci
• Worldwide equity risk prediction, Applied Economics Letters 2013, with Hoogerheide
• Cross-sectional distribution of GARCH coefficients across S&P 500 constituents, Wilmott 2013, with Hoogerheide
• A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods, Computational Statistics & Data Analysis 2012, with Basturk, Hoogerheide & van Dijk
• Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?, Economics Letters 2012, with Corré & Hoogerheide
• An introduction to the Generalized Marginal risk, Wilmott 2012, with Keel
• Fully flexible extreme views, Journal of Risk 2011, with Keel & Meucci
• Generalized marginal risk, Journal of Asset Management 2011, with Keel
• Differential Evolution with DEoptim: An application to non-convex portfolio optimization, R Journal 2011, with Boudt, Carl, Mullen & Peterson
• DEoptim: An R package for global optimization by Differential Evolution, Journal of Statistical Software 2011, with Cline, Gil, Mullen & Windover [Code]
• Heuristic methods in finance, Newsletter American Statistical Association 2011, with Schumann
• Jump-diffusion calibration using Differential Evolution, Wilmott 2011, with Giraldo & Ospina
• Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R, R Journal 2010, with Hoogerheide [Code]
• AdMit: Adaptive mixtures of Student-t distributions, R Journal 20010, with Hoogerheide & van Dijk
• Adaptive mixture of Student-t distributions as a flexible distribution for efficient simulation: The R package AdMit, Journal of Statistical Software 2009, with Hoogerheide & van Dijk [Code]
• Bayesian estimation of a Markov-switching threshold GARCH model with Student-t innovations, Econometrics Journal 2009
• Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications, Lecture Notes in Economics and Mathematical Systems 2008, 612, Springer
• Tests d'arbitrage sur options: Une analyse empirique des cotations de market-makers, Bankers, Markets and Investors 2007

Teaching

• Statistical Methods for Financial Data, HEC Montréal
• Méthodes statistiques pour données financières, HEC Montréal
• Machine Learning Applied to Financial Data, HEC Montréal
• Méthodes d'apprentissage appliquées aux données financières, HEC Montréal

Awards

• Cascad best reproduced paper award, AFFI 2025, with Aymard & Cenesizoglu
• Open data quality award 2024, Canadian Open Data Society, with Guidotti
• Research award 2024 at the associate level, HEC Montréal
• Teaching award 2022 at the associate level, HEC Montréal
• Best asset pricing paper award, AFFI 2022, with Barras, Gagliardini & Scaillet
• National Bank of Belgium research award 2020, with Bluteau, Boudt & Inghelbrecht
• Best paper 2018-2019, International Journal of Forecasting, with Bluteau & Boudt
• Swiss risk manager of the year 2018, Swiss Risk Association
• Projet pédagogique innovant 2017, 2018, Université de Neuchâtel
• Teaching award Distinction Socrate 2013, 2014, 2015, Laval University
• SAS/IIF research award 2014, with Kolly
• Runner-up, NYSE-Euronext prize 2008
• Chorafas prize 2008, University of Fribourg