The BNP Paribas Chair in Quantitative Finance was inaugurated in October 2007 at the Ecole Centrale Paris, with the aim of forming a group of researchers working on the empirical and theoretical aspects of the microstructure of financial markets and notebooks. orders. At the end of 2011, the Chair had three permanent researchers, a seconded researcher, a post-doctoral fellow, a dozen PhD students. Its funding is guaranteed until 2017.
Research within the Chair is organized in three main directions: empirical studies of markets and their microstructure; mathematical modelling of order books and financial assets; empirical analysis and numerical simulation of trading strategies. This research is made possible by the use of large databases - Thomson Reuters TRTH database, Eurex and Xetra market data... - which provides us with an unrivalled environment for design, development and validation. of our models.
