I work as Research Manager for CFM (Capital Fund Management, Paris) since 2010.

I hold a PhD in Applied Mathematics from the University of Toulouse (France). My academic work was dealing with the modelling of endogeneity in dynamic contexts, more specifically for duration models. It has been applied to the particular case of Hedge Fund lifetimes observed in databases.

My fields of interest are theroretical econometrics, financial econometrics & statistics. More particularly I have been working and I am still interested in endogeneity and its practical applications, ill-posed inverse problems and their regularization, duration models and nonparametric estimation.

On the practical side, my topics of research relate to statistical arbitrage, equity strategies and equity factors, portfolio allocation, capacity evaluation, machine learning, and time-series modelling. I'm also interested in other fields in finance such as Hedge Funds (performance evaluation, biases, drivers of funds' survival), portfolio analytics, execution costs, and impact modelling.

Aside from the financial topics, I am also very interested in sports statistics and sports economics.

https://www.guillaumesimon.net/