- PhD in Management and Finance, 1992
overseen by Professor Bertrand Jacquillat - University of Paris IX Dauphine
Thesis: « Predictability of Returns on the French Stock Market: 1977-1990 ».
Winner of:the 1993 Société des Bourses Françaises Award for the best French thesis in Finance
and the 1993 Jean-Bertrand Nogaro Award of the Academy of Paris.
- Diplôme d’Etudes Approfondie, equivalent of Master Degree, of Applied Mathematics to Economics - University Paris IX Dauphine and ENSAE, 1988
Head of Research at Euronext Indices Paris (NYSE Euronext, operates the world’s largest and most liquid exchange group)
Design and development of new indexes:
- Indices équi-pondérés (Equal-weighted) sur les indices CAC40, AEX, launched on 20 June 2009
- High Dividend indexes based on CAC40, AEX, BEL20 and PSI20 indexes, launched on 3 April 2009
- Leverage indexes (Leverage, XBear et Short) based on CAC40, AEX, BEL20 and PSI20, launched on 21 December 2007 to 2009
- Indices de volatilité based on CAC40, AEX and BEL20, launched on 3 September 2007
- Indices de stratégies d’options (Covered Call et Protective Put) sur les indices CAC40 et AEX, launched on 19 June 2007
- Euronext FAS IAS index based on the employees ownership,launched on 4 December 2006
- Alternext index, launched on 4 September 2006
- CAC AllShares index (Euronext Paris Allshare index), launched on 1st July 2005
- Small Caps and Mid Caps indexes (CAC Next20, CAC Mid100, CAC Small 90, CAC Mid&Small190 and CAC IT20), launched on 3 January 2005
- Responsible of the Free float switch of the CAC40 index
University and Business School professor
- University of Paris XII (Master of Portfolio Management) – Derivatives Markets
- Engineering School, Institut Galilée de Calculs Scientifiques – Financial Markets
- Ecole des Dirigeants et Créateurs d’entreprise (EdC) – Financial Markets
- Luxembourg School of Finance (MBA) – Market Efficiency and Microstructure
- Reims Management School – Derivatives Markets
- IAE of Lille – Financial Mathematics
- University Paris Dauphine (DEA 104 Finance) – Applied computer tools to Finance
2000 - 2002
Head of Research for Derivatives Products à Euronext Paris
- Responsible of the "Weather Derivatives” project in cooperation with Météo-France: Methodology and Marketing of NextWeather® indices: launched at 21 January 2002
- Responsible of the "Volatility Indices (IVOL)” project: At the Money Implied Volatility indices calculated for index and equity options
- Representative of Euronext in the Products Harmonization Committee (EUREX, MONEP and MATIF): rules and contracts specifications
- Conception of Settlement option prices including smile and surface of volatility (implemented in the Clearing system)
- Conception of Fair adjustment of option contracts in case of specific corporate action (implemented in the Clearing system)
1997 - 2000
Head of R&D of the MONEP (The French Options Market)
- Responsible of training, research and development of new products
- Responsible of the "Ecole du MONEP” (MONEP Training), 6 trainers, 32 conferences per year (one day conference);
- Representative of the Société des Bourses Francaises (The French Exchanges) in the STOXX project to create a new family of pan-European indices. Responsible of sampling and methodologies of indices calculation.
- Representative of the SBF in the Marketing Working Group of Euro-Alliances (cooperation of European derivatives exchanges)
- Creation of the MONEP website
- Creation of the MONEP Volatility indices (based on the CAC40 index options implied volatility)
- Creation of Dow Jones STOXX derivatives options and futures contracts (launched in June, 1998 on MATIF/MONEP markets)
- Creation of Dow Jones sector derivatives contracts (launched in march 1999)
Academic Researches and Publications
- Transparency and Market Quality, An Analysis of the Effect of Mifid on Euronext, 2013, with B. Soltani, Bankers, Markets & Investors, Vol. 123
- Impact of US macroeconomic news announcements on Euronext exchanges trading, with S. Dubreuille, Working paper, Conférence Internationale de l’Association Française de Finance (AFFI) – Lyon, 2004 .A new version of this paper is published in the International Journal of Business, Winter 2009, Volume 14, Number 2.
- IPO indices: methodology and empirical results, with Stéphane Dubreuille, Conference on IPO, Paris, 2001.
- A New Illiquidity measure - a speculative approach, with M. Zuanon, Working paper
- Liquidity measures - an theoretical and empirical analysis, with M. Zuanon, Working paper, Conference of the Multinational Finance Society, 2001, Italy .
- Shares purchases on the French Stock Market : theoretical and empirical analysis, Working paper, CEREG, 200212, with E. Tchemeni.
- Money laundering and market impacts , with C. Dangé, Working paper CREFIGE, 1999.
- Impacts boursiers des mises en examen des dirigeants des sociétés cotées, with C. Dangé, Working paperCREFIGE.
- Market Anomalies on the Jamaican Stock Market, with M. J. Rigobert et E. Tchemeni, Working paper CEREG, 9806.
- Market Efficiency of the Jamaican Stock Market, with M. J. Rigobert et E. Tchemeni, Working paper CEREG, 9805
- Managers Earnings’ Forecasts Impact on Stock Prices and Trading Volume, with E. Tchemeni,Revue Economique, 1997, 48, 1.
- Analysis of Forecast Results Published by Corporate Managers, with E. Tchemeni, Economie et Société, 22, 9.
- Over-reaction Strategies in the French R.M. Stock Market (1977-1990) ,Finance, 1995, Vol 16, N°1.
- Statistical Properties of Trading Volumes in the French Stock Market , with E. Tchemeni, Conférence Internationale de Finance - Bordeaux. Working paper du CEREG, N°9609.
- Le remplacement des cours manquants par les milieux de fourchettes, with S. Tnani, Séminaire International Francophone de Finance, Dijon.
- Event Studies by Trading Volume: Methodologies and Comparison , with E. Tchemeni, Conférence de l’Association Française de Finance (AFFI) - Paris. Working paper du CEREG, N°9610.
- Investments and Dividend Decreases: Market Reactions, with J. F. Malécot, Finance, 1994, Vol 15, N°2.
- Return Distribution: Estimation Difficulties and Empirical Results, with G. Essama, Economie Appliquée, 1994, Vol 47, N°4.
- Informational Value of Managers Earnings’ Forecasts (1984-1990, France), with E. Tchemeni, FinEco, 1994, Vol 4, N°2.
- The Treatment of Missing Data in Financial Analysis: the Case of the AFFI-SBF Database, Working paper CEREG, 9112, with I. Hachette. A new version of this paper is published in « Recherches en Finance du CEREG », ed. Economica, 1994.
- Over-reaction and the Contradictory Strategies in the French Stock Market (1977-1990), Séminaire International Francophone de Finance, Grenoble. A new version of this paper is published in « Le marché français des actions » de J. Hamon et B. Jacquillat, 1992, ed. Presses Universitaires de France.
- Manager de l’année pour qui ?, Working paper, CEREG, 9009, with B. Jacquillat