Joachim
de
Lataillade
I
am currently working as a Researcher at Capital Fund Management, a
hedge fund based in Paris, specialised in algorithmic trading.
In my previous life I was doing academic research in Theoretical
Computer Science.
Below are a few references on my curriculum and my
publications.
Quantitative Finance
I have been working at Capital Fund Management since September, 2009, in the Discus-Execus team.
Research interests :
- market impact
- execution strategies (limit / market orders, cost evaluation ...)
- trading optimisation (Lagrangian and Bellman methods)
- smart order routing.
Theoretical Computer Science
2008 - 2009 : Postdoc Fellowship at the IML in Marseille, in the group Logique de la Programmation, as part of the Choco project.
2007 - 2008 : Postdoc Fellowship at the University of Ottawa, Ontario, in the LFC
team.
2004 - 2007 : PhD in the PPS
laboratory, under the supervision of Pierre-Louis
Curien and
Olivier
Laurent. My PhD
defence took place on November 21st 2007.
Research interests :
- game semantics
- system F (game
models, genericity, parametricity...)
- category theory
- type isomorphisms
and retractions
- classical
logic, (polarized) linear logic and proof-nets
- differential lambda-calculus.
Publications
Second-Order
Type Isomorphisms Through Game
Semantics
Annals of
Pure and Applied
Logic, 151(2-3):115-150 (2008)
-
pdf
Curry-style Type Isomorphisms and Game
Semantics
Mathematical Structures in Computer Science, 18(4) : 647-692 (2008) -
pdf
Dinatural terms in system F
Logic in Computer Science, 24th Annual IEEE Symposium, 267-276 (2009) - pdf
Quantification
du second ordre en sémantique des jeux - Application aux isomorphismes
de types
Thèse de doctorat (2007) - pdf
Anomalous price impact and the critical nature of liquidity in financial markets
B. Toth, Y. Lempérière, C. Deremble, J. de Lataillade, J. Kockelkoren, J.-P. Bouchaud
Phys. Rev. X, 1, 021006 (2011) - pdf
Prepublications
Strachey Parametricity and Game Semantics
Technical Report - pdf
Optimal trading with linear costs
J. de Lataillade, C. Deremble, M. Potters, J.-P. Bouchaud
Submitted to Journal of Investment Strategies- pdf
Teaching archives
2007-2008 : Calculus for Life
Sciences I and Linear
Algebra II
2006-2007 : Introduction to
Computer Science and
Logic Tools
2005-2006 : Finite
automata
2004-2005 :
Unix and automata and Data
structures
Personal life
I got married with Sabine Samaha on August 1st, 2010 in Khenchara, Lebanon.
You can watch some pictures from our wedding here.