Chairs in Finance

Chairs in Finance

Chairs

Analytics and models for financials regulation

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 – joint research unit CNRS – Ecole Polytechnique) and professor at the Ecole Polytechnique of the Institut Polytechnique de Paris
Sponsorship type: chair
Creation date: 01/09/2016
Partners: Friends of Ecole Polytechnique, Fondation de l'X

Business analytics for future banking

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, researchers at the Centre de mathématiques appliquées (CMAP – joint research unit CNRS – Ecole Polytechnique) and professors at the Ecole Polytechnique
Nizar Touzi, researcher at the Centre de mathématiques appliquées (CMAP – joint research unit CNRS – Ecole Polytechnique) and professor at the Ecole Polytechnique of the Institut Polytechnique de Paris
Jean-Edouard Colliard and Vincent Fraitot, associate teachers at HEC Paris
Sponsorship type: chair
Creation date: 17/12/2018
Partners: École des hautes études commerciales de Paris, Fondation de l'X

Finance and sustainable developemnt

Economy, long term risks, large scale modelisation

With sustainable development’s integration into the economy at its core, the Chair « Finance et développement durable » is held by Pierre-Louis Lions and Nizar Touzi. Supported since 2006 by Crédit Agricole CIB and EDF, the Chair studies projects and long term risks in the scope of sustainable development. The Chair notably participated in the uprising of the mean field theory, an innovative social sciences modelisation at the scale of entire populations.

Holders: Pierre-Louis Lions, professor at the Collège de France, member of the Institut Europlace de Finance, professor at the Ecole Polytechnique until 2016
Nizar Touzi, researcher at the Centre de mathématiques appliquées (CMAP – joint research unit CNRS – Ecole Polytechnique) and professor at the Ecole Polytechnique of the Institut Polytechnique de Paris
Sponsorship type: chair
Creation date: 2006
Partners: Université Paris Dauphine, Fonds européen d'investissement

Financial risks

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 the École Polytechnique (1997 2007), distinguished professor at the Sorbonne Université
Nizar Touzi, researcher at the Centre de mathématiques appliquées (CMAP – joint research unit CNRS – Ecole Polytechnique) and professor at the Ecole Polytechnique of the Institut Polytechnique de Paris
Sponsorship type: chair
Creation date: 01/01/2018
Partners: École des Ponts ParisTech, Université Pierre et Marie Curie, Fondation du risque

Stress Test

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 – a joint research unit CNRS – Ecole Polytechnique) at the Ecole Polytechnique of the Institut Polytechnique de Paris
Sponsorship type: chair
Creation date: 03/09/2018
Partners: Fondation de l'X

Sponsorship programmes

Deep finance and statistics

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 Nizar Touzi, 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: Nizar Touzi, researcher at the Centre de mathématiques appliquées (CMAP – joint research unit CNRS – Ecole Polytechnique) and professor at the Ecole Polytechnique of the Institut Polytechnique de Paris
Sponsorship type: research initiative
Creation date: 01/09/2020

Machine Learning & systematic methods in finance

Artificial intelligence, big data, financial risks

Led by Nizar Touzi and supported by ExodusPoint Capital Management since its creation in 2020, 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: Nizar Touzi, researcher at the Centre de mathématiques appliquées (CMAP – joint research unit CNRS – Ecole Polytechnique) and professor at the Ecole Polytechnique of the Institut Polytechnique de Paris
Sponsorship type: research initiative
Creation date: 12/06/2020