Welcome, world!

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

Avatar

Loïc Maréchal

Ph.D. in finance

Biography

I am a researcher at the Cyber-Defence Campus (armasuisse, Science and Technology) and HEC Lausanne. In this position, I apply private equity models to the cybersecurity sector to guide armasuisse's procurement decisions. I am also a lecturer in finance at the University of Geneva (LL.M.), ESSEC Business School (M.Sc.), and Les Roches (MBA). I have over 10 years of commodity markets experience, which includes working on trading desks and writing my Ph.D. dissertation. I have a strong interest in machine learning and market microstructure that I use for my own algorithmic trading (high-frequency/latency). I am a French citizen living in Lausanne, Switzerland.

Interests

  • Financial markets
  • Artificial intelligence
  • Market microstructure
  • Information retrieval

Education

  • Ph.D. in finance, 2021

    University of Neuchâtel

  • M.Sc. in finance, 2009

    University of Paris X and Warsaw School of Economics

  • Maîtrise in management, 2007

    University of Versailles - Saint Quentin en Yvelines

  • B.Sc. in economics, 2006

    University of Versailles - Saint Quentin en Yvelines

Skills

R

90%

Java

80%

Statistics

80%

Finance

90%

Ski

100%

Kitesurf

80%

Experience

 
 
 
 
 

Researcher

Cyber-Defence Campus, armasuisse S+T - HEC Lausanne

Oct 2020 – Present Lausanne, Switzerland
 
 
 
 
 

Visiting lecturer

University of Geneva - ESSEC Business School - Les Roches

Sep 2020 – Present Paris, Geneva, Crans-Montana
 
 
 
 
 

Scientific collaborator, teaching assistant and Ph.D. candidate

Neuchâtel University

Sep 2015 – Jul 2021 Neuchâtel, Switzerland
 
 
 
 
 

Senior commodity market analyst

Cargill

Jan 2014 – Jul 2015 Geneva, Switzerland
 
 
 
 
 

Commodity market analyst

S&P Global

Feb 2011 – Jul 2013 Lausanne, Switzerland
 
 
 
 
 

Algorithmic trader

Own Account

Jan 2010 – Present Lausanne, Switzerland
 
 
 
 
 

Quantitative analyst (internship)

Bunge Mathematical Institute

Jun 2009 – Oct 2009 Warsaw, Poland

Projects

TechRank (with A. Mezzetti et al.)

We introduce TechRank, a recursive algorithm based on a bi-partite graph with weighted nodes. We develop TechRank with the purpose of …

The new risk and return of venture capital investments (with F. Burguet)

This paper revisits the study of Cochrane (2005), to estimate the risk and returns of venture capital investments, while correcting for …

Cyberdefence-technology assessment (with D. Percia David, W. Lacube, S. Gillard, T. Maillart, A. Mermoud, and M. Tsesmelis)

We study security-development patterns in computer-science technologies through (i) the security attention among technologies, (ii) the …

A tale of two premiums revisited

This paper investigates the effect of the “financialization” of commodity markets in terms of pricing. I explore whether …

Do economic variables forecast commodity futures volatility?

This paper explores empirically whether the supply or the demand uncertainty, the time to maturity, and the slope of the term structure …

The valuation effects of index investment in commodity futures (with M. Dubois)

This paper studies the valuation effect of the SP-GSCI roll on commodity contracts. We identify a surge of investment tracking …

Three essays on commodity markets

This dissertation is constituted of three distinct chapters on commodity markets, which cover different aspects of finance. The first …

Recent & Upcoming Talks

CICF Conference

A tale of two premiums revisited

Cyber Alp Retreat 2022

The new risk and return of venture capital investments

JFA‑PBFJ Conference

A tale of two premiums revisited

Newcastle University Investment Society

Market efficiency, from low to high frequencies

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. …