Vincent PFISTER

En résumé

Entreprises

• BNP Paribas - Proprietary Quant Trader

  Paris 2010 - maintenant Took over the responsibility for the alpha-driven short-term quantitative trading. Trading started on G10 currencies, but the mandate also included liquid futures. Managed a small team of 2 quant traders. Defined the risk parameters and metrics with the management, using back-testing and stress-test analysis (parametric and non parametric VaR).
  Built a research and back-testing environment in Python/Numpy. Built a short-term mean reversion strategy on currency baskets, ran the back-tests, implemented it in the production environment (in Java), and monitored the trading. Created a short-term dispersion-based strategy on G10. Researched and prepared the implementation of a medium-term VAR model on currencies and financial futures.
  Designed and implemented a high-frequency strategy used to minimize the trading cost on baskets.

• Ikos - Head of Research

  LEVALLOIS PERRET 2009 - 2010 Management of the research team of Ikos (quantitative hedge fund, $2b): oversight of the research projects, responsible for the resource allocation and the delivery of the research group. As a member of the research committee (with the CIO and risk manager), signed off on the new strategies.
  Directly in charge of several research projects, with a lot of hands-on development and analysis work, in particular on the equities mean reversion strategies, on the optimization and portfolio construction, and on the high frequency trading strategies. Implemented several changes in the existing strategies using techniques from my previous research (signal processing, multi-scaling, robust linear methods). Played a key role in idea sourcing, and participated very actively in the rewriting of the systems, both from a theoretical and implementation standpoint.

• Credit Suisse - Sector Head

  Paris 2005 - 2008 In charge of the hedge fund research, selection and portfolio management for quantitative strategies (managed futures, statistical arbitrage, high frequency) and global macro for the fund of funds unit, as sector head. Managing a small team of analysts. Overseeing the due diligence process, and responsible for the sourcing and the monitoring in the sector.
  Conducted quantitative research on managers and markets, contributing to the strategic allocation. As a senior member of the investment team, voted in the investment committee. Research, selection, launch and monitoring of a new fund of fund on Currencies (600M €)

• Prestio - Company creation

  2001 - 2004 Entrepreneurial initiative aiming at the launch of a quantitative hedge fund. Conceived and set up the systems, oversaw the company, and conducted the research, back-testing and trading.
  Developed a set of statistical strategies on European equities. Traded these strategies on proprietary capital.

• BAREP (Soc Gen subsidiary) - Portfolio Manager

  1998 - 2001 CTA:
  Initiated the trading on options for the futures fund (Epsilon, $800M), first as a hedging overlay, and then as a stand alone strategy. Built an historical database of implied volatility surfaces, and developed tools to design and back-test option-based strategies.
  Proposed enhanced filters for the existing trend following strategies, based on wavelets and fuzzy logic, and designed innovative hedging schemes using exotic options and volatility ``arbitrage``.
  
  STATISTICAL ARBITRAGE:
  Launched a new Market Neutral fund for BAREP, as co-manager of the fund. responsible for the quantitative strategies (50% of the 30M fund).
  Developed the models for these strategies (pair trades, basket vs. index), designed the trading systems, and oversaw the team of 3 implementing the system and conducting the trading.

• Societe Generale - Market Maker

  PARIS 1996 - 1998 Worked as assistant market maker on French interest rate options on the floor. As junior market maker, initiated the market making activity on the 5 years bond options, and designed a new smile model. Started the electronic option market making on the DTB (now Eurex).%Adapted work done on equity options to set up a trading automaton on German Bund and Bobl options on the DTB (now Eurex). The system included an advanced spread trading strategy, which helped the bank to keep its market share when trading switched from open outcry to electronic.

Formations

• HEC MSFi

  Paris 1995 - 1996 International Finance

• ENSEEIHT

  Toulouse 1992 - 1995 Engineer in Applied Mathematics and Computer Science

Réseau

• Francois OUSTRY

• Jean-Philippe BRUNEEL

• Laurence VIGIER

• Nathalie DE PEUFEILHOUX

• Paul LARUE

• Pierre-Yves CHABROL

• Sophie FERRAND

• Sylvain NOAILLY

• Thierry BOSSANT

• Xavier MAZET