Chairs in Finance

High frequence trading, market regulation, statistical models

The Chair « Analytics and models for financial regulation » studies the impact of several regulations applied to financial markets on price variation. Supported since 2016 by Friends of École Polytechnique and held by Nizar Touzi, the Chair’s research focus mainly on both the high frequency trader and quoted market price’s role in the stability of financial markets and in price variation mechanisms.

Holder: Nizar Touzi, researcher at the Centre de mathématiques appliquées (CMAP*) and professor at École Polytechnique
Sponsorship type: chair
Creation date: 01/09/2016
Partners: Friends of Ecole Polytechnique, Fondation de l'X

Data science, deep learning, machine learning

The chair « Business Analytics for Future Banking » jointly held by Karim Lounici, Jean-Edouard Colliard and Vincent Fraitot is structured around several research areas: from mass treatment (deep learning, machine learning, AI, incomplete or heterogenous data) to product and service innovation consecutive to data mining. Supported by Natixis, it has two main challenges: on the one hand it prepares students to data management on client relationship and risk management, and on the other hand it contributes through research to the development of theories and good practices of data.

Holders: Karim Lounici, & Nizar Touzi, researchers at the Centre de mathématiques appliquées (CMAP*) and professors at the École Polytechnique
Jean-Edouard Colliard and Vincent Fraitot, associate lecturers at HEC Paris
Sponsorship type: chair
Creation date: 17/12/2018
Partners: École des hautes études commerciales de Paris, Fondation de l'X

Economy, long term risks, large scale modelisation

The "Finance & Sustainable Development - Quantitative Approaches" Chair was created in 2006 through a partnership between Université Paris-Dauphine, École Polytechnique, Crédit Agricole CIB and EDF R&D, under the aegis of the "Institut Europlace de Finance" Foundation. This partnership was renewed in 2022 for a period of 5 years. The aim of the Chair is to contribute to the creation of know-how and methods for assessing, quantifying and managing the risks to society's sustainable development, through the interaction of finance and the various fields of economic theory. The specificity of the Chair (which sets it apart from other Chairs) is the emphasis placed on quantitative approaches (mathematical and statistical modelling, development of IT methods).

Heads: Pierre-Louis Lions, professor at the Collège de France, member of the Institut Europlace de Finance, professor at the Ecole Polytechnique until 2016
Charles Bertucci, CNRS researcher at the Centre de mathématiques appliquées (CMAP*) and professor at École Polytechnique
Sponsorship type: chair
Creation date: 2006
Partners: Université Paris Dauphine

Risk management, market functioning, decision-making tools

Since its creation in 2007, the Chair « Risques financiers » aims to improve numerical calculation methods and risk management for financial institutions. Held by Nicole El Karoui and Nizar Touzi and supported by Société Générale, the Chair’s research pivot around large scale market modelisation, and the development of new statistical arbitrage tools in order to highlight strong impact factors on markets.

Holders: Nicole El-Karoui, professor at École Polytechnique (1997-2007), distinguished professor at the Sorbonne Université
Nizar Touzi, researcher at the Centre de mathématiques appliquées (CMAP*) and professor at École Polytechnique
Sponsorship type: chair
Creation date: 01/01/2018
Partners: École des Ponts ParisTech, Université Pierre et Marie Curie, Fondation du risque

Banking, data science, dependency modelisation, risk quantification

Founded in 2018 and held by Emmanuel Gobet, the research chair « Stress Test, Risk Management & Financial Steering » studies the resilience of banking activities to varied disruptions (credit, market, climate, cyber security, reputation…). Thanks to the support of BNP Paribas, this chair has access to their banking expertise and experience in regulations to better grasp the issues of of the banking system. Thus, the applied mathematics research coordinated by Emmanuel Gobet defines pioneer approaches for risk modelling, and statistical simulation and assessment.

Holder: Emmanuel Gobet, researcher at the Centre de mathématiques appliquées (CMAP*) and professor at École Polytechnique
Sponsorship type: chair
Creation date: 03/09/2018
Partners: Fondation de l'X

Market impact, artificial intelligence, risk management

Created in 2020, the Deep finance and statistics research initiative focuses on the systematic financial risk management of trading algorithms. Supported by Qube Research & Technologies and led by Stefano De Marco, its research focuses on determining the effects of an investor on market dynamics. This impact is crucial for trading algorithms and is studied in particular through the implementation of market simulators to evaluate the impact of different trading algorithms. The latter will ultimately be optimised according to the market thanks to probabilistic dynamics and machine learning.

Holder: Stefano De Marco, researcher at the Centre de mathématiques appliquées (CMAP*) and professor at École Polytechnique
Sponsorship type: research initiative
Creation date: 01/09/2020

Artificial intelligence, big data, financial risks

Led by Emmanuel Gobet and supported by ExodusPoint Capital Management, the research initiative focuses on the contribution of simulators, deep learning and reinforcement learning to optimize investment strategies and models. Those methods are well suited for the modelisation of stationary phenomena with a large amount of data. The main challenge is to adapt them for the modelisation of financial processes, which are highly non stationary by nature and for which a limited amount of historical data is available.

Holder: Emmanuel Gobet, researcher at the Centre de mathématiques appliquées (CMAP*) and professor at École Polytechnique
Sponsorship type: research initiative
Creation date: 12/06/2020

*CMAP: a joint research unit CNRS, Inria, École Polytechnique, Institut Polytechnique de Paris, 91120 Palaiseau, France