A bit about me
I am an alumni of the Ecole Normale Superieure of Paris (ENS, also known as Normale Sup, Ulm). In 2002-2003 I completed a master’s degree in economics – with a major in corporate finance – from the Paris-Jourdan Sciences Economiques (PSE) research center and also graduated from the Ecole Nationale de la Statistique et des Administrations Economiques (ENSAE), as a statistician-economist engineer.
I spent the 2003-2004 academic year as a visiting student at the Department of Economics of Princeton University.
From 2005 till 2007, I started off my PhD at the London School of Economics in London, doing my course work at the department of finance.
In September 2007 I transferred to the Swiss Finance Institute at EPFL in Lausanne, to conduct my research under the supervision of Peter Bossaerts, at the Laboratory of Decision-Making under Uncertainty (LDMU).
Research interest and current work
I study decision making under uncertainty in nonstationary settings. This research lives somewhere at the intersection of classical finance, behavioral and experimental finance, with also some inputs from decision neuroscience.
My thesis examines whether agents can learn the distributions of asset returns that switch over time. I designed the “Boardgame,” an asset valuation game with unstable assets – a nonstationary bandit problem, formally. I derived the optimal solution to the problem and conducted lab sessions of the Boardgame with students from the EPFL. I found that as many as 80% of the participants in the game approximated the optimal solution, suggesting that they mastered the game.
I am currently testing the consistency of this result, by having professional traders play the game online.
I am also exploring the neurological foundations of the sophisticated behavior at work in the Boardgame, by running a neuroimaging study of the Boardgame in collaboration with John O’Doherty at Trinity College. We have adapted the original Boardgame to make it suitable for a functional magnetic resonance imaging analysis. The behavioral results with students from Trinity confirm the prevalence of sophisticated behavior in the game. We are now analyzing the neural data, to understand the neural systems that support this behavior.
My home country
If you are a Monégasque abroad like me, consider joining the “Association des Monégasques de l’étranger”!
