Welcome, world!

Welcome to my website! Here you will find information about my research, teaching, work experience, and hobbies.


Loïc Maréchal

PhD candidate in Finance

Neuchâtel University


I am a PhD candidate in Finance, focusing on commodity markets through the lens of asset pricing and risk management. I hold a Master in Banking and Finance from the University of Paris Nanterre, and have five years of commodity market analysis experience, working for consulting and trading companies. I also have a strong interest in machine learning methods (applied to Finance, natural science and natural language processing) and algorithmic trading (high-frequency / latency). I am a French citizen living in Switzerland.


  • Financial Markets
  • Artificial Intelligence
  • Computational Linguistics
  • Information Retrieval


  • PhD candidate in Finance

    Neuchâtel University

  • MSc in Finance, 2009

    University of Paris X

  • BSc in Economics, 2007

    Versailles University
















Teaching Assistant & PhD candidate

Neuchâtel University

Dec 2015 – Present Neuchâtel, Switzerland

Scientific collaborator

Neuchâtel University

Sep 2015 – Nov 2015 Neuchâtel, Switzerland

Senior Commodity Market Analyst


Jan 2014 – Jul 2015 Geneva, Switzerland

Commodity Market Analyst

S&P Global

Feb 2011 – Jul 2013 Lausanne, Switzerland

Algorithmic Trading (hobby)

Own Account

Jan 2010 – Present Lausanne, Switzerland

Quantitative Analyst (Internship)

Bunge Mathematical Institute

Jun 2009 – Oct 2009 Warsaw, Poland


A comprehensive look at commodity volatility forecasting

This research combines recent advances in the Realized Volatility (RV) literature and three specific commodity futures factors to …

The valuation effects of index investment in commodity futures

We identify and date a significant surge in the amount of investment tracking commodity futures indices, a phenomenon identified …

Recent & Upcoming Talks

Dauphine 2020 Hedge Fund Conference - poster

Talk given during the 2019 Non Standard Investment Choice Workshop

New Zealand Finance Meeting 2019 - discussion

Talk given during the 2019 New Zealand Finance Meeting

New Zealand Finance Meeting 2019 - presentation

Talk given during the 2019 New Zealand Finance Meeting

Securities and Financial Markets Conference 2019 - presentation

Talk given during the 2019 Securities and Financial Markets Conference

ESSEC 2019 Non Standard Investment Choice Workshop - presentation

Talk given during the 2019 Non Standard Investment Choice Workshop

Coursework beyond PhD requirements

Winter School in Statistics

Finite Mixture and Markov Switching Models - The Bayesian perspective, Empirical Processes with Applications in Statistics
See certificate

Summer School in Statistics

Numerical computation for statistics, Convex Optimization for Statistics and Machine Learning, Statistical computing for systems biology
See certificate

Behavioral Finance

Behavioral Finance by Prof. Daniel Kent
See certificate

Volatility Modeling

Volatility Modeling by Prof. Tim Bollerslev
See certificate

Summer School on Market Microstructure

Profs. Thierry Foucault and Albert Menkveld
See certificate

Web Based Data Collection in Perl

Prof. Andrew Leone
See certificate

Some lectures I give

  • À quoi servent les Mathématiques en Sciences Économiques (Bachelor)
    Neuchâtel University September 12, 2019. (Slides)
  • Introduction to natural language processing and web scraping (Master)
    Neuchâtel University November 21, 2019. (Slides)
  • Research in Financial Analysis: Introduction to databases (Master)
    Neuchâtel University October 31, 2019. (Slides)
  • Session d'exercices en finance du LL.M. Tax
    Geneva University January 25, 2019. (Exercices)
  • Principes de Finance: Introduction à la Microstructure de Marché (Bachelor)
    Neuchâtel University March 2, 2017. (Slides)
  • Principes de Finance: Évaluation des actions (Bachelor)
    Neuchâtel University April 12, 2018. (Slides)(Video extract)
  • Principles of Finance: Optimal portfolio choice (Bachelor) Neuchâtel University April 11, 2019. (Video extract)

Recent Posts

Inefficiency of markets with negative prices?

In this post, I briefly describe the event of negative prices market which occured on the NYMEX WTI crude oil May contract Event …

Multivariate break test

In this tutorial, I explain how to implement, in a flexible way, the algorithm of Bai, Lumsdaine, and Stock (1998). Step 1: Lag …

Security Exchange Commission: web browsing emulation and natural language processing

In this tutorial, I explain how to emulate navigation on the SEC website, perform bulk downloads of forms (e.g. 10-K forms) and extract …

Incremental efficient frontier

In this tutorial, I quickly describe how to compute and update an efficient frontier in adding stocks to an existing porfolio with R. …