The resume can be downloaded here

Work experience

• June 2022 - Present: ADIA - Quantitative Researcher & Developer
  • Buy-side quant, ADIA quant team (“Q”)
  • Signal generation, risk modeling, and portfolio construction
  • Multi-asset allocation (strategic and tactical) and portfolio construction
  • Design systematic trading strategies, in a scientific approach, leveraging big data, statistics, and machine learning
• April 2023 - Present: International Monetary Fund - IMF Consultant
  • Mission with Central Banks: Technical assistance in liquidity forecasting, monetary framework, and calibration of the monetary operations
  • Teaching advanced modeling techniques at the Asian regional training institute: Point forecasts, volatility modeling, density estimations
• Oct 2017 - June 2022: Euronext Paris - Senior Index Structurer
  • Design bespoke equity indices
    • serving as underlying portfolios for ETFs, Structured Products, and Formula based funds
    • covering a large spectrum of thematic strategies (Fundamental Factors, Smart Beta, Alternative data based, ESG, PAB/CTB, SBT …)
    • ranging from plain-vanilla free float market cap benchmarks to optimization-based strategies, managing turnover, transaction costs, factors, and industry exposures
  • Constructed the data infra-structured, and the ETL pipeline feeding the back-tester
  • Developed a Python-based platform for portfolio construction and strategies back-testing.
• March - September 2017: Capital Fund Management - Equity Researcher
  • Analyzed Asset Pricing Anomalies’ scalability after trading costs
  • Filtered the Momentum factor from price returns using Kalman Filter
• April - December 2016: Kepler Cheuvreux - Equity Researcher
  • Publication of a broker note entitled: Selecting the best price momentum strategy for your investment horizon
  • Design systemic trading strategies on European Equity Markets (Statistical arbitrage, Pairs-trading).

Teaching

• April 2023: FX Intervention Rules: A Risk-Based Framework
  • IMF – Singapore Regional Training Institute (STI) course website
  • Audience: 29 Central Bankers
• 2018 - Present: Strategies and Actors in Financial Markets
  • Paris-Dauphine Lectures course website
  • Audience: MSc Applied Mathematics, MASEF, 203
• 2017: Introduction to Python programming
  • Paris-Dauphine Practical Sessions
  • Audience: Bachelor students

Education

• Ph.D. in Economics, Paris-Dauphine, PSL Research University, December 2020
• MSc in Financial Mathematics and Probabilities (DEA EL Karoui-Pages-Yor), Ecole Polytechnique & UPMC (Paris VI), December 2016
• Engineering Degree in Applied Mathematics, and Computer Science, Telecom ParisTech, Paris Saclay University, September 2016
• Undergrad - Preparatory Classes for Grandes Ecoles, June 2011

Publications

Book

Financial Markets in Practice, From Post-Crisis Intermediation to FinTechs.
World Scientific Publisher with Lehalle, C. A.

Academic Research

Stock market liquidity and the trading costs of asset pricing anomalies
Université Paris-Dauphine Research Paper, (3380239) (2019) With Briere, M., Lehalle, C. A., Nefedova, T.

Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance
Machine Learning for Asset Management (2020) With Briere, M., Lehalle, C. A., Nefedova, T.

Liquidity Provision and Market-Making in Different Uncertainty Regimes: Evidence from the COVID-19 Market Crash
Université Paris-Dauphine Research Paper, (3815169) (2021) With Briere, M., Lehalle, C. A.

Broker Note

Selecting the best price momentum strategy for your investment horizon
KeplerCheuvreux Dec 2016 Note

Open-Source Statistical tools

• Distributional GaRCH model to design VaR-based FX Interventions for Central Banks. Package available on PyPi

• Forecast selection and aggregation used by Central Banks to compare models and design the best out-of-sample forecasts for autonomous factors. Package available on PyPi

Skills

• Languages: English (Fluent), French (Bilingual), Arabic (Native)
• Computer Skills: Python (including environment management, online documentation, and package deployment), Matlab, C++, SQL, AWS Cloud Computing, GCP, Linux, Git (including workflows and CI/CD)
• Financial Platforms: Bloomberg, Refinitiv, Factset, Macrobond, Haver, JPMaQS

Grants

• Ph.D. Scholarship - French Ministry of Higher Education and Research.
• Major-Excellence Scholarship for top ranked in preparatory classes (ranked 15 in Morocco) - Campus France
• Presentation at highly ranked international conferences on Finance and Data Science.

Service and leadership

• President of Télécom ParisTech Moroccan Student Association
• Prepare top-ranked Moroccan students in preparatory classes for oral entry exams to French engineering Schools