Welcome to my website! Here you will find a portfolio that describes my passion and the work I have done during my PhD. My research interests are Market Microstructure, Asset Pricing, and Financial Econometrics. In my JMP, I apply Machine Learning methods to study the dynamics of expected equity returns.
Since 2020, I have been working as a quantitative portfolio manager in Research & Development at IQAM Invest. In this role, I am responsible for developing investment strategies, optimizing portfolios, and conducting performance analyses, with a focus on equity, multi-asset, and commodity markets. Prior to that, I gained extensive expertise in constructing fixed income and equity indices in Frankfurt, as well as managing market risk at ERSTE Group. As early as 2016, I developed a portfolio optimization model at IQAM Invest - based on my master’s thesis - that leverages the characteristics of corporate bonds.
My academic background includes a PhD from the University of Luxembourg, LSF, complemented by a research stay at the London School of Economics, LSE with a focus on Machine Learning in Asset Pricing. Before my PhD, I graduated with distinction from the Vienna University of Economics and Business in a two-year MSc program in Quantitative Finance in 2016. My research focuses on the interplay between empirical asset pricing and market microstructure.
I am also passionate about high-frequency trading strategies and have dedicated significant effort to refining approaches that harness real-time data and advanced quantitative techniques. The components of these strategies are designed to be relatively uncorrelated, enhancing diversification and reducing overall portfolio risk. The plot below demonstrates the remarkable performance of one of my strategies, underscoring its potential to consistently generate alpha.