October 1st, 2019

The CFM-Imperial Researchers Meeting on Quantitative Finance will bring together researchers from Capital Fund Management (CFM) and the Mathematical Finance group at Imperial College for a one-day workshop on mathematical modelling in finance as part of the activity of the CFM - Imperial Institute of Quantitative Finance


Capital Fund Management S.A., 23 Rue de l'Université, 75007 Paris, France. 

Invited Speakers 


  • Michael Benzaquen (École Polytechnique) 
  • Jean-Philippe Bouchaud
  • Stefano Ciliberti
  • Iacopo Mastromatteo
  • Emmanuel Sérié 
  • Bence Tóth

Imperial College London

  • Antoine Jacquier
  • Johannes Muhle-Karbe
  • Eyal Neuman
  • Mikko Pakkanen
  • Pietro Siorpaes




9:30-9:35 Opening remarks by Jean-Philippe Bouchaud
9:35-9:50 Self-introductions
9:50-10:05 Johannes Muhle-Karbe Liquidity, Trading Volume, and Asset Prices
10:05-10:20 Stefano Ciliberti The equity factors debate
10:20-10:35 Mikko Pakkanen Modelling limit order book data with state-dependent Hawkes processes
10:35-10:50 Iacopo Mastromatteo Mining trading policies out of intraday data
10:50-11:05 Short break
11:05-11:20 Michael Benzaquen Research within the CFM-Polytechnique Chair
11:20-11:35 Bence Tóth Price impact, information and adaptation
11:35-11:50 Eyal Neumann On optimal execution, Market Making and Equilibrium
11:50-12:05 Emmanuel Sérié  Design of low frequency strategies: sailing in low signal to noise ratio landscape
12:05-12:20 Antoine Jacquier Deep Learning for rough volatility
12:20-12:35 Pietro Siorpaes Robust pricing and hedging
12:35-14:00  Lunch 
14:00-15:30 Shared brainstorming
15:30-16:30 In-depth brainstorming in 2 groups 
16:30-17:15 The 2 groups present their results and propose next steps, conclusion



 Zoltan Eisler (CFM)  and Eyal Neuman (ICL)