gilles

Personal

Full Name

Gilles Daniel

Homepage

http://gillesdaniel.com

Position

Post-Doc at ETH Zurich

Affiliation

Chair of Entrepreneurial Risks
Department of Technology, Economics and Management
ETH Zurich

Research topic

Agent-based Computational Finance

Research interests

* Financial Engineering
* Agent-based Computational Finance
* Computer Simulations of Complex Systems
* Risk Control

Short CV

I was born in Toulouse, southern France, in the late 1970's. Following two years of training in Mathematics and Physics (Maths sup - Math spé) and a B.Sc. in Computer Science and Finance (with honors) at the Ecole Nationale Superieure d'Informatique pour l'Industrie et l'Entreprice (ENSIIE), I did an internship in the Fixed Income Division of Calyon, a French investment bank, as a trainee trader. I became fascinated by financial markets, but the initial excitement of playing with vast sums of money was quickly replaced by a sense of incredulity and a desire to understand and comprehend quantitatively the inner dynamics of this world wild game.

Following this experience, I seized the opportunity to do an M.Sc. in Advanced Computer Science, obtained with distinctions, at the University of Manchester, UK, to explore a black-box model of the distribution of stock market returns (MSc thesis, journal paper in Quantitative Finance).

In this process, I became familiar with agent-based models of financial markets, and after taking some courses of finance theory at the Manchester Business School, I started my PhD in the School of Computer Science of the University of Manchester, with Prof. David S. Brée, from the Artificial Intelligence group. A few months later, I had the chance to meet in a conference Prof. Sorin Solomon, who introduced me to the fascinating world of non-linear dynamics and complex systems, and I joined his team as a research visitor in the Lagrange Interdisciplinary Laboratory for Excellence in Complexity, ISI Foundation, Turin, Italy, where I wrote up my PhD dissertation.

I am currently a Post-Doctoral Fellow in Didier Sornette's Chair of Entrepreneurial Risks, at ETH Zurich. More detailed information can be found on my online CV.

In Septembre 2007, I will join the Market Risk Control team at UBS Investment Bank, Zurich.

Ph.D. project

Thesis title

Asynchronous Simulations of a Limit Order Book

Defense year

2006

Faculty

University of Manchester, UK

Ph.D. supervisors

David Bree Institute for Scientific Interchange (ISI) Foundation Turin, Italy

Emeritus Professor of Artificial Intelligence
Financial Markets

Sorin Solomon Hebrew University of Jerusalem, Israel. ISI Foundation, Turin, Italy

Professor of Theoretical Physics
Complexity

Publications

Publications

Gilles Daniel and Didier Sornette (2007)
Endogenous drawdown outliers in the limit-order-book
Presented in the AKSOE satellite workshop of the Annual Meeting of the German Physics Society, Regensburg, Germany, March 2007

Gilles Daniel (2006)
Asynchronous Simulations of a Limit Order
PhD thesis, University of Manchester, UK, Dec. 2006

Gilles Daniel and Enrico Scalas (2006)
Statistical equilibrium in a simulated double auction
Presented at the 11th Annual Workshop on Economic Heterogeneous Interacting Agents (WEHIA 2006), Bologna, Italy

Gilles Daniel (2006)
Modélisation, implémentation et exploration d'un système multi-agents - un exemple
In "Introduction à la modélisation et à la simulation multi-agents de systèmes complexes pour les Sciences de l'Homme et de la Société" by F. Amblard and D. Phan D., London, Hermes-science, 2006

Gilles Daniel, Lev Muchnik and Sorin Solomon (2005)
Traders imprint themselves by adaptively updating their own avatar
Presented to Artificial Economics 2005, Lille, France
In "Lecture Notes in Economics and Mathematical Systems: Artificial Economics, Agent-Based Methods in Finance, Game Theory and Their Applications" by P. Mathieu, B. Beaufils and O. Brandouy, Springer 564, pp 27-38, ISBN 3-540-28578-4

Gilles Daniel, Nathan L. Joseph and David S. Brée (2005)
Stochastic volatility and the goodness-of-fit of the Heston model
Quantitative Finance, Vol. 5, No. 2 (2005) 199-211

Gilles Daniel (2004)
Random time in Agent-Based Market Models
In proceedings of 11emes Journees de Rochebrune 2004, rencontres interdisciplinaires sur les systemes complexes naturels et artificiels, le Temps dans les systemes complexes, Rochebrune, France, 61-69

Gilles Daniel, David S. Brée and Nathan L. Joseph (2003)
Goodness-of-fit of the Heston model
Presented at the 11th International Conference on Computing in Economics and Finance (CEF 2003), 281, Seattle, July 2003

Gilles Daniel (2002)
Stochastic Volatility in a Quantitative Model of Stock Market Returns
MSc thesis, University of Manchester, UK, Sept. 2002