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, CIREQ, CRM, Fin-ML, GERAD, and Quantact, an associate researcher at OBVIA and the Penner Institute, and an instructor at DataCamp.

Research

Publications in FT 50 journals

• Efficient estimation of bid-ask spreads from open, high, low, and close prices, Journal of Financial Economics 2024, with Guidotti & Kroencke [Code/Data]
• Is it alpha or beta? Decomposing hedge fund returns when models are misspecified, Journal of Financial Economics 2024, with Barras, Scaillet & Gagligardini [Code]
• Climate change concerns and the performance of green versus brown stocks, Management Science 2023, with Bluteau, Boudt & Inghelbrecht [Data]

Other publications

• spantest: Mean-variance spanning tests in R, Working paper, with Séguin
• RSDC: Regime-switching correlation models in R, Working paper, with Séguin
• PeerPerformance: Luck-corrected peer performance analysis in R, Working paper, with Séguin
• Value creation in the hedge fund industry, Working paper, with Barras
• Robust inference in large panels and Markowitz portfolios, Working paper, with Sessinou [Code]
• Revisiting Boehmer et al. (2021): Recent period, alternative method, different conclusions, Financial Markets and Portfolio Management, with Aymard & Cenesizoglu [Code]
• Optimal text-based time-series indices, International Journal of Forecasting 2025, with Bluteau [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
• Twitter and cryptocurrency pump-and-dumps, International Review of Financial Analysis 2024, with Bluteau [Data]
• Thirty years of academic finance, Journal of Economic Surveys 2024, with Bluteau & Meghani [Code]
• 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]
• Econometrics meets sentiment: An overview of methodology and applications, Journal of Economic Surveys 2020, with Algaba, Bluteau, Borms & Boudt
• COVID-19 Data Hub, Journal of Open Source Software 2020, with Guidotti [Data]
• 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

• Research impact award 2025, HEC Montréal
• Cascad best reproduced paper award, AFFI 2025, with Aymard & Cenesizoglu
• Open data quality award 2024, Canadian Open Data Society, with Guidotti
• Research award for associate professors 2024, HEC Montréal
• Award for teaching excellence for an associate professor 2022, 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