Welcome, world!

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


Loïc Maréchal

Ph.D. in finance


I hold a Ph.D. in finance, focusing on commodity markets through the lens of asset pricing and risk management. I am currently visiting lecturer at Les Roches (Crans-Montana) and ESSEC Business School (Paris). I have five years of commodity markets 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


  • 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
















Visiting lecturer (forthcoming)

ESSEC Business School

Jan 2022 – Mar 2022 Paris, France

Visiting lecturer

Les Roches

Oct 2020 – Present Crans-Montana, Switzerland

Teaching assistant and Ph.D. candidate

Neuchâtel University

Dec 2015 – Jul 2021 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 trader

Own Account

Jan 2010 – Present Lausanne, Switzerland

Quantitative analyst (internship)

Bunge Mathematical Institute

Jun 2009 – Oct 2009 Warsaw, Poland


A tale of two premiums revisited

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

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

Peculiarities related to cyberdefence procurement often lead to ineffective technology acquisitions. In this work, we suggest an …

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

Newcastle University Investment Society (guest speaker)

Market efficiency, from low to high frequencies

Derivative Markets Conference 2021

A tale of two premiums revisited

4th annual J.P. Morgan Center for Commodities (JPMCC) “New Directions in Commodities Research” international symposium

The valuation effects of index investment in commodity futures

Commodity and Energy Markets Association Annual Meeting 2020-2021

The valuation effects of index investment in commodity futures

37th International Conference of the French Finance Association

The valuation effects of index investment in commodity futures

Selected coursework

Winter school in statistics

Resampling methods - Forecast evaluation - Introduction to optimal transport in statistics
See certificate

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

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. …