Pamela Saliba finished his PhD at École Polytechnique and is now a Quantitative Investment Graduate at Pictet Asset Management, worked previously in the Surveillance department of the French regulator AMF (Autorité des Marchés Financiers).
Her PhD is in the area of market microstructure, in particular high frequency data analytics, market impact, understanding high frequency traders’s behaviour and modelling order book dynamics.
She has a Master 2 degree (M2) in Probabilities and Finance from University Paris 6 and École Polytechnique (El Karoui master program), a Master degree in Fundamental and Applied Mathematics at University Paris 6 and an undergrad in Mathematics at Lebanese University.
Papers:
- From asymptotic properties of general point processes to the ranking of financial agents with Othmane Mounjid and Mathieu Rosenbaum
- The information content of high frequency traders aggressive orders: recent evidences published in Quantitative Finance
- From Glosten-Milgrom to the whole limit order book and applications to financial regulation (with W. Huang and M. Rosenbaum)
- The Behaviour of High-Frequency Traders Under Different Market Stress Scenarios, to be published in Market Microstructure and Liquidity