Applied Research in Finance, ETH Zürich

 
 

Research interests

Looking at the big picture through the prism of Finance can be fun and exciting, sometimes. In my research (currently at ETH Zurich) and my professional activity (at UBS Investment Bank), I am trying to observe and understand how relatively free markets allocate and/or waste capital and resources in today’s interlinked economies.


This led me to the study of stock markets microstructure in my PhD, a look at the survival bias in back-testing algorithmic trading strategies during my Post-Doc, and more recently a hands-on experience of the dislocation of the entire market of Mortgage-Backed Securities in the US. 

  1. Bullet   Algorithmic Trading

  2. Bullet   Monte Carlo

  3. Bullet   Portfolio evaluation

PhD on Algorithmic Trading

Asynchronous Simulations of a Limit Order Book

(Best Thesis prize 2007, University of Manchester, UK)


Abstract: We investigate by means of computer simulations the intraday dynamics of stock markets, and show the primary role played by liquidity in the price formation mechanism. Liquidity dynamics are not only responsible for the statistical properties of price changes, but they also play a key role in determining the level at which market prices stabilise. Read more ...


Applications: This research has relatively straightforward applications in the simulation and validation of algorithmic best-execution algorithms and/or trading strategies. Our C++ simulation platform of a limit order book and its order flows can be seen as a sandbox in which to test, validate and fine-tune such algorithms before plugging them live on real stock market exchanges.

Publications


Gilles Daniel, Didier Sornette and Peter Wohrmann [working paper]

  1. BulletLook-Ahead Benchmark Bias in Portfolio Performance Evaluation


Gilles Daniel and Didier Sornette [working paper]

  1. BulletEndogenous drawdown outliers in the limit-order-book


Gilles Daniel (2007)

  1. BulletModelling, implementing and Exploring Agent-Based Models


Gilles Daniel (2006)

  1. BulletAsynchronous Simulations of a Limit Order Book


Gilles Daniel and Enrico Scalas [working paper]

  1. BulletStatistical equilibrium in a simulated double auction


Gilles Daniel (2006)

  1. BulletModélisation, implémentation et exploration d'un système multi-agents


Gilles Daniel, Lev Muchnik and Sorin Solomon (2005)

  1. BulletTraders imprint themselves by adaptively updating their own avatar


Gilles Daniel, Nathan L. Joseph and David S. Brée (2005)

  1. BulletStochastic volatility and the goodness-of-fit of the Heston model

Quantitative Finance, Vol. 5, No. 2 (2005) 199-211


Gilles Daniel (2004)

  1. BulletRandom time in Agent-Based Market Models


Gilles Daniel, David S. Brée and Nathan L. Joseph (2003)

  1. BulletGoodness-of-fit of the Heston model


Gilles Daniel (2002)

  1. BulletStochastic Volatility in a Quantitative Model of Stock Market Returns

Academic experience

Post-Doc at ETH Zurich, Switzerland, in the Department of Management, Technology and Economics,

2006 - present


Research visitor at the ISI Foundation, Turin, Italy, in the Lagrange Interdisciplinary Laboratory for Excellence in Complexity,

2005-2006


PhD at the University of Manchester, in the School of Computer Science, 2002-2006


MSc at the University of Manchester, in the School of Computer Science, 2001-2002

Honors

My PhD dissertation was awarded the Manchester University 2007

Best Thesis prize


1-year Research Scholarship from the

Interdisciplinary Laboratory for Excellence in Complexity, Turin, Italy


3-year Research Scholarship from the

Engineering and Physical Sciences Research Council, UK

Teaching and Events organisation

Co-organizor of the ESHIA Summer School on Agent Based Models for Spatial Systems in Social Sciences & Economic Science with Heterogeneous Interacting Agents, Sept. 2007


Organizor of the GIACS Workshop on Experimental and Computational Finance, July 2006


Speaker at the CNRS Summer School on Modelisations et simulations multi-agents de systemes complexes pour les Sciences de l Homme et de la Societe, Sept. 2005


Organizor of the ISI Foundation Winter Workshop on (Un)realistic Simulations of Financial Markets, Apr. 2005


I have been a Teaching Assistant from 2002 to 2005 in the following courses, involving preparing lab exercises for undergraduate and graduate students, evaluating course performance and marking exams:


    * Software Engineering

    * Object Oriented Programming with Java

    * Electronic Commerce Technologies

    * UML and Interactive System Design Methods


While at the University of Manchester, I also occupied the following positions:


    * Postgraduate mentor in the School of Computer Science

    * Residential tutor in the Pastoral Team of Grosvenor Hall of Residence

    * Campus Team Leader in the Hornet Halls of Residence Network Team

    * Chairperson and captain of the Manchester University Handball Club