Mark Piquant.
Currently a quantitative researcher at Engie Global Markets developing a statistical arbitrage algorithm for the European Intraday Power market.
Prior to this, I built and deployed a live stat-arb strategy on European Power and Gas futures - in production with a Sharpe of 4.3 and a 56% hit ratio. Earlier, at BNP Paribas Asset Management, I engineered an adaptive transfer Lasso pipeline producing denoised covariance matrices for a €2.5 billion robust-Markowitz allocator handling 2,700+ funds.
My academic background sits at the intersection of finance and engineering: a double degree from CentraleSupélec (Modelling and Financial Mathematics) and ESSEC Business School (Programme Grande École, Paris & Singapore), preceded by preparatory school at Lycée Henri IV.
Quantitative Researcher
- Developing a statistical arbitrage algorithm targeting the European Intraday Power market.
- eTrading team - building systematic strategies that go from research to live production.
Quantitative Researcher Intern
- Researched, backtested and deployed a systematic stat-arb strategy on European Power and Gas futures.
- In live production: Sharpe 4.3, hit ratio 56%.
Quantitative Researcher Intern
- Engineered an Adaptive Transfer Lasso ML pipeline modelling risk exposition across 2,700+ funds.
- Produced denoised covariance matrices for a €2.5B AUM robust-Markowitz allocator.
Strategy Analyst Intern
- Led on-field assessment of a cocoa sustainability program in Cameroon.
- Built and quantitatively analysed a database of African founders to identify predictors of success.
Master in Engineering, MFM
- Major: Modelling and Financial Mathematics.
- Stochastic calculus, derivative pricing, portfolio allocation, market microstructure, machine learning.
Master in Management
- Programme Grande École - double degree with CentraleSupélec.
Classes Préparatoires
- Intensive preparation for competitive entrance exams to top French engineering schools.
Languages
- Python
- SQL
- JSX / React
- LaTeX
Libraries
- pandas, NumPy
- scipy, statsmodels
- scikit-learn
- cvxpy
Domains
- Statistical Arbitrage
- Derivatives Pricing
- Portfolio Theory
- Market Microstructure
Infrastructure
- FastAPI, Docker
- SQLite, Postgres
- Fly.io, Vercel
- Git