Guillaume COQUERET
Associate professor, director of QUANT research center
Research topics
1. Heterogeneous agents in financial economics
2. Performance of machine learning models
3. Factor investing in finance
Publications
Morgenstern, Christian, Coqueret, Guillaume, Kelly, James. 2022. International market exposure to sovereign ESG. Journal of Sustainable Finance & Investment, 20 p.
Coqueret, Guillaume. 2022. The determinants of health assessment in the United States: A supervised learning approach. Healthcare Analytics, 2 : 9 p.
Anquetin, Théophile, Coqueret, Guillaume, Tavin, Bertrand, Welgryn, Lou. 2022. Scopes of carbon emissions and their impact on green portfolios. Economic Modelling, 115 : 18 p.
Chevalier, Guillaume, Coqueret, Guillaume, Raffinot, Thomas. 2022. Supervised portfolios. Quantitative Finance, FORTH
Morgenstern, Christian, Coqueret, Guillaume, Kelly, James N. 2021. Tuning Trend-Following Strategies with Macro ESG Data. Journal of Impact and ESG Investing, 2 (2) : 117-136 p.
Coqueret, Guillaume. 2021. Machine Learning in Finance: From Theory to Practice: Book Review. Quantitative Finance, 21 (1) : 9-10 p.
Coqueret, Guillaume. 2020. Stock-specific sentiment and return predictability. Quantitative Finance, 20 (9) : 1531-1551 p.
Coqueret, Guillaume, Guida, Tony. 2020. Training trees on tails with applications to portfolio choice. Annals of Operations Research, 288 (1) : 181-221 p.
Coqueret, Guillaume, Tavin, Bertrand. 2019. Procedural rationality, asset heterogeneity and market selection. Journal of Mathematical Economics, 82 : 125-149 p.
Guida, Tony, Coqueret, Guillaume. 2018. Machine Learning in Systematic Equity Allocation: A Model Comparison. Wilmott, 2018 (98) : 24-32 p.
Aytaç, Beysül, Coqueret, Guillaume, Mandou, Cyrille. 2018. Herding behavior among wine investors. Economic Modelling, 68 : 318-328 p.
Coqueret, Guillaume. 2017. Approximate NORTA simulations for virtual sample generation. Expert Systems with Applications, 73 : 69-81 p.
Coqueret, Guillaume. 2017. Empirical properties of a heterogeneous agent model in large dimensions. Journal of Economic Dynamics and Control, 77 : 180-201 p.
Coqueret, Guillaume, Martellini, Lionel, Milhau, Vincent. 2017. Equity Portfolios with Improved Liability-Hedging Benefits. Journal of Portfolio Management, 43 (2) : 37-49 p.
Ammann, Manuel, Coqueret, Guillaume, Schade, Jan-Philip. 2016. Characteristics-based portfolio choice with leverage constraints. Journal of Banking and Finance, 70 : 23-37 p.
Coqueret, Guillaume, Tavin, Bertrand. 2016. An investigation of model risk in a market with jumps and stochastic volatility. European Journal of Operational Research, 253 (3) : 648-658 P.
Coqueret, Guillaume. 2015. On the supremum of the spectrally negative stable process with drift. Statistics & Probability Letters, 107 : 333-340 p.
Coqueret, Guillaume. 2015. Optimal Wine Pricing for Restaurants. Journal of Wine Economics, 10 (2) : 204-224 p.
Coqueret, Guillaume. 2015. Diversified minimum-variance portfolios. Annals of Finance, 11 (2) : 221–241 p.
Coqueret, Guillaume. 2014. Second order risk aggregation with the Bernstein copula. Insurance: Mathematics and Economics, 58 : 150-158 p.
Coqueret, Guillaume. 2013. Lookback option prices under a spectrally negative tempered-stable model. International Journal of Theoretical and Applied Finance, 16 (3)
Academic articles
Coqueret, Guillaume. 2022. Perspectives in sustainable equity investing. Boca Raton, FL : CRC Press, 1 vol. (IX -194 p.)
Coqueret, Guillaume, Guida, Tony, Guida, Tony. 2020. Machine learning for factor investing: R version. CRC Press, xix, 321 pages
Books
Coqueret, Guillaume. 2022. Quelques contributions en finance quantitative. Habilitation à Diriger des Recherches ès Sciences de gestion, Université Lumière Lyon 2.
Coqueret, Guillaume. 2012. Options exotiques, lois infiniment divisibles et processus de Lévy: aspects théoriques et pratiques. Doctorat ès Mathématiques appliquées, École doctorale Sciences pour l'Ingénieur (Lille). 99 p.
Thesis
Communications & Seminars
- 29th Australasian Finance and Banking Conference (AFBC), Sydney, Australia, 2016