1 Education : 2 Academic Positions : 2.1 Permanent positions

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1 Olivier BRANDOUY Professor of Finance Sorbonne Graduate School of Business, University Paris 1 Université Paris 1 Panthéon Sorbonne 21 rue Broca, Paris +33 (0) (0) brandouy.iae@univ-paris1.fr Webpage http//brandouy.free.fr July 2012 Born 12/09/1969 Married, two children (12 and 10) Research Interests Market dynamics, Portfolio Management Agent-Based Computational Finance 1 Education Agrégé de Sciences de Gestion, Finance (French national competition for the recruitment of University Professors) Doctorat nouveau régime en Sciences de Gestion (Finance) (PhD in Management Sciences (Finance)), Université de Limoges. Agrégation d économie et gestion (1997), DEA in Management Sciences (1994, Univ. Poitiers Master degree ). 2 Academic Positions 2.1 Permanent positions 09/ Professor of Finance, Sorbonne Graduate Business School, University of Paris 1. Professor of Finance, IAE (Graduate School of Business), University of Lille 1. Researcher, CNRS (French National Centre for Scientific Research), CLAREE, UMR8020. Assistant Professor, IAE (Graduate School of Business, University of Lille 1. Assistant Professor, University of Limoges, School of Law and Economics. PhD position at the University of Limoges and the Graduate School of Business, University of Poitiers. 1

2 2005 & Long Term Visiting Professor, ISI Foundation, Multi-Agents Systems Dept., Torino (It.). Ecole Centrale de Lille, séminaires en Finance. 3 Publications 3.1 Scientific Journals Articles 1. O. Brandouy, A. Corelli, I. Veryzhenko, R. Waldeck (2012), A re-examination of the Zero is Enough hypothesis in the Emergence of Financial Stylized Facts, Journal of Economic Interaction and Coordination, forthcoming. 2. O. Brandouy, W. Briec, K. Kerstens, I. Van de Woestyne (2010), Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator, Journal of Banking and Finance, 34(8), O. Brandouy, K. Kerstens, I. Van de Woestyne (2010), Exploring Bi-Criteria versus Multi- Dimensional Lower Partial Moment Portfolio Models, International Journal of Technology, Modeling and Management, 1(1), B. Beaufils, O. Brandouy, L. Ma, P. Mathieu (2009), Simuler pour comprendre Une explication des dynamiques de marchés financiers par les systèmes multi-agents, Systèmes d Information et Management (SIM), 14 (4), J. Derveeuw, B. Beaufils, O. Brandouy, P. Mathieu (2007), L apprort des SMA à la modélisation des marchés financiers, Revue d Intelligence Artificielle, 21(5 6), O. Brandouy, P. Mathieu (2006), Les marchés financiers artificiels, Revue Française de Gestion, juillet O. Brandouy (2005), Stock Markets as Minority Games Cognitive Heterogeneity and Equilibrium Emergence, Physica A, Statistical Mechanics and its applications, 349, O. Brandouy, P. Barneto, L.A. Leger (2003), Asymmetric Information, Imitative Behaviour and Communication Price Formation in an Experimental Asset Market, European Journal of Finance, 9(5), O. Brandouy (2001), Laboratory Incentive Structure and Control-Test Design in an Experimental Asset Market, Journal of Economic Psychology, 22, O. Brandouy, P. Barneto (1999), Incertitude et fourchettes de prix sur un marché d enchères les apports du laboratoire, Finance-Contrôle-Stratégie, 2(3), O. Brandouy (1994), Mesure des rendements anormaux performance relative des modèles autorégressifs conditionnellement hétéroscédastiques (A.R.C.H) par rapport à ceux fondés sur des régression classiques, Banques et Marchés, 15, Editor in refeered proceedings 1. P. Mathieu, B. Beaufils, O. Brandouy eds (09/2005), Artificial Economics Agent-Based Methods in Finance, Game Theory and their Applications, Lectures Notes in Economic and Mathematical Systems, Springer. 3.3 Refeered publications in books or proceedings 1. O. Brandouy, K. Kerstens, I. Van de Woestyne (2012), Backtesting super-fund portfolio strategies founded on frontier-based mutual fund ratings, Efficiency and Productivity Growth in the Financial Services Industry, Fotios Pasiouras Ed., Jhon Wiley & Sons, forthcoming O. Brandouy, P. Mathieu, I. Veryzhenko (2012), On the Design of Agent-Based Artificial Stock Markets, Communications in Computer and Information Science, forthcoming I. Veryzhenko, P. Mathieu, O. Brandouy (2010), Agent s minimal intelligence calibration for realistic market dynamics, in LiCalzi, Milone and Pellizari eds., Progress in Artificial Economics, Lecture Notes in Economic and Mathematical Systems (645), Springer, B. Beaufils, O. Brandouy, P. Mathieu (2010 ), Une analyse de la complexité des dynamiques financières à l aide de modèles multi-agents, in H. Zwirn et al. eds., Qu appelle-t-on aujourd hui les sciences de la complexité, Langages, réseaux, marchés, territoires, Vuibert ; pp Olivier Brandouy and Philippe Mathieu and Iryna Veryzhenko (2009), Gauging Agent-Based Trading of a Single Financial Asset, Artificial Economics the generative method in economics, pages

3 6. J. Derveeuw, B. Beaufils, O. Brandouy, P. Mathieu (2007), Testing double auction as a component within a generic market model architecture, The Economy as a Complex Adaptive System (2), Lecture Notes in Economic and Mathematical Systems, Springer. 7. O. Brandouy, P. Mathieu (2006), A Broad Spectrum Computational Analysis for Market Efficiency, Advances in Artificial Economics, Lecture Notes in Economic and Mathematical Systems, Springer, pages O. Brandouy, Y.-R. Ying (2006), Capital Asset Pricing Model on the basis of Heterogeneous Investors, Financial Systems Engineering IV, Lecture Notes in Decision Sciences,9, Springer. 9. O. Brandouy, P. Mathieu (2006), Large-Scale Agent-Based Simulations and the Efficient Markets Hypothesis, in C. Bruun ed., The Economy as a Complex Adaptive System, Lecture Notes in Economic and Mathematical Systems, Springer. 3.4 Books or books chapters 1. D. Bourghelle, O. Brandouy (2006), Sensitivité aux annonces macroéconomiques une approche conventionnaliste, in F. Eymard-Duverney Ed., Economie des Conventions, méthodes et résultats, La Découverte, Paris, D. Bourghelle, O. Brandouy, A. Orléan (2005), in Bourghelle et al. eds, Efficience informationnelle et efficience technique, Croyances, représentations collectives et conventions en finance, Economica, Paris. 3. O. Brandouy, Complexité et phénomènes critiques en finance, in Bourghelle et al. eds, Croyances, représentations collectives et conventions en finance, Economica, Paris, O. Brandouy (2002), L expérience de laboratoire en Sciences de Gestion, un point méthodologique, in N. Mourgues Ed., Questions de Méthodes en Sciences de Gestion, EMS, Paris, O. Brandouy (1999), Modifications des frontières du groupe de sociétés, variation des conditions concurrentielles et impact sur la richesse des actionnaires, Thèse de doctorat, Presses Universitaires de Limoges, (2000). 3.5 Books edition 1. D. Bourghelle, O. Brandouy, R. Gillet & A. Orléan eds (2005), Croyances, représentations collectives et conventions en finance, Economica, Recherche en Gestion, Paris. 3.6 Articles in other journals 1. O. Brandouy (2007), L argent et le temps... qu il fait, Pour La Science (French edition of Scientific American), Special issue on Les caprices du climat, January (2008), Scientific American Brasil. 3. O. Brandouy, P. Mathieu (2006), La simulation financière, Pour La Science (French edition of Scientific American), Special issue on La simulation dans les Sciences, July. 4. O. Brandouy, P. Mathieu (2006), La simulation financière Pour La Science (édition française de Scientific American), numéro spécial, La simulation dans les Sciences Juillet. 3.7 Working papers 1. O. Brandouy, Delahaye, Jean-Paul, Ma, Lin and Zenil, Hector (2012), Algorithmic Complexity of Financial Motions, No 1204, ASSRU Discussion Papers, ASSRU - Algorithmic Social Science Research Unit, http //EconPapers.repec.org/RePEc trn utwpas O. Brandouy, P. Rous (2001), Multi-Factor Model of Stock Returns and Market Efficiency An Application to French Data , Cahiers de Recherche du CRMM, , Université de Limoges. 3. O. Brandouy, J.-C. Mathé (1997), Rétrospective et perspectives stratégiques quelle pertinence pour un monopole public dans la tourmente de l histoire?, Cahiers de recherche du CEREGE, 160, IAE Poitiers. 4 Scientific communications, conferences and workshops 4.1 Invited lectures or plenary addresses 1. French Conference on Multi-Agent Systems (JFSMA), Carcassonne 2007 L apport des SMA à la modélisation en Finance. 2. CNRS-Conference, Systèmes complexes en SHS, Cerisy-la-salle, CNRS-CEMAGREF Scientific school, Simulation Multi-Agents en sciences sociales, Meze,

4 4.2 Conferences 1. O. Brandouy, P. Mathieu, I. Veryzhenko (2012), A multi-agent ecological competition analysis of strategy performance does risk aversion matter?, 17 th Annual Workshop on Economic Heterogeneous Interacting Agents. 2. P. Mathieu, O. Brandouy (2012), Introducing ATOM, 10 th International Conference on Practical Applications of Agents and Multi-Agent Systems, Salamanca, Spain. 3. O. Brandouy, P. Mathieu, I. Veryzhenko (2012), Optimal portfolio diversification A multi-agent ecological competition analysis, 10 th International Conference on Practical Applications of Agents and Multi-Agent Systems, Salamanca, Spain. 4. O. Brandouy, Delahaye, Jean-Paul, Ma, Lin and Zenil, Hector (2011), Algorithmic Complexity of Financial Motions, Symposium on New Directions in Modeling International Finance, Limmerick, 24 25, 2011, Ireland. 5. O. Brandouy, J-P. Delahaye, L. Ma (2011), A Computational Definition of Financial Randomness, Congrès de l Association Française de Finance, Montpellier, P. Mathieu, O. Brandouy (2011), Efficient monitoring of financial orders with agent-based technologies, 9 th International Conference on Practical Applications of Agents and Multi-Agent Systems, Salamanca, Spain. 7. I. Veryzhenko, P. Mathieu, O. Brandouy (2011), Key points for realistic agent-based financial market simulations, 3 rd International Conference on Agents and Artificial Intelligence, Roma, Italy. Proceedings (ISBN ), Vol.2, pp Student Best paper Award of the Conference. 8. P. Mathieu, O. Brandouy (2010), A Generic Architecture for Realistic Simulations of Complex Financial Dynamics, 8 th International Conference on Practical Applications of Agents and Multi- Agent Systems, Salamanca, Spain. 9. B. Beaufils, O. Brandouy, L. Ma, P. Mathieu (2009), Simuler pour comprendre Une explication des dynamiques de marchés financiers par les systèmes multi-agents, Congrès de l Association Française de Finance, Brest, O. Brandouy, P. Mathieu (2009), Ex-Post Optimal Strategy for the Trading of a Single Financial Asset. Definition of an Absolute Distance to the Best Behavior, 15 th Conference of the Society for Computational Economics Computation in Economics and Finance, Sydney, Australia. 11. O. Brandouy, P. Mathieu (2009), Calibrating Agent-Based Models of financial markets, 15 th Conference of the Society for Computational Economics Computation in Economics and Finance, Sydney, Autsralia. 12. O. Brandouy, P. Mathieu (2008), Evaluation of Agent-Based Automatic Trading, 14 th Conference of the Society for Computational Economics Computation in Economics and Finance, Paris. 13. O. Brandouy, W. Briec, K. Kerstens, I. Van de Woestyne (2008), Performance Gauging in Discrete Time Using a Luenberger Portfolio Productivity Indicator, European Financial Management Association, Athens, , North American Productivity Workshop, Stern School of Business, New-York, , Northern Finance Association, Calgary, , Association Française de Finance, Lille, Y.-R. Ying, O. Brandouy (2007), An Application of Copula Function to Warrant Investment, International Conference of System Science, Management Science and System Dynamics, October 19-21, 2007, Tongji University, Shangaï, P.R. China. 15. O. Brandouy, P. Mathieu (2007), A Conceptual Framework for the Evaluation of Agent-Based Trading and Technical Analysis, Artificial Economics 2007, Palerme. 16. J. Derveeuw, B. Beaufils, P. Mathieu, O. Brandouy (2007), Un modèle d interaction réaliste pour la simulation des marchés financiers, Modèles Formels pour l Interaction (MFI), 2007, Paris (LAMSADE). 17. O. Brandouy, Y.-R. Ying (2006), Capital Asset Pricing Model on the basis of Heterogeneous Investors, Third International Conference on Risk Management and Fourth International Conf. on Financial System Engineering, Chinese Academy of Sciences, Academy of Mathematics and Systems Science, Shanghai, October O. Brandouy, P. Mathieu (2006), Large Scale Agent-Based Simulations and the Efficient Market, 12 th Conference of the Society for Computational Economics Computation in Economics and Finance, Limassol. 19. O. Brdouy, P. Mathieu (2006), Large Scale investigation of EMH with virtual agents, AE 2006, Aalborg. 4

5 20. B. Beaufils, O. Brandouy (2004), Reputation Game and the Dynamics of Exchange Networks, 4th Congress on Proximity, Networks and Coordination, IDEP - GREQAM, Marseille. -soumis à Management Science- 21. O. Brandouy (2004), Stock Markets as Minority Games Cognitive Heterogeneity and Equilibrium Emergence, 12th Congress of the Society for Nonlinear Dynamics and Econometrics, Atlanta. 22. D. Bourghelle, O. Brandouy (2003), On the Long Term Dependency Macro Indicators - Financial Markets, Congrès Conventions et Institutions, FORUM, Paris. -soumis au Journal of Economic Behavior and Organization- 23. O. Brandouy, P. Barneto, L.A. Leger (2000), Insider Trading, Imitative Behaviour and Communication Price Formation in a Simulated Double-Auction Stock-Market, 1st Portuguese Financial Network, Braga. -, 17ème Congrès de l AFFI, Paris. 24. O. Brandouy (2000), From Beliefs to Anticipations a Fuzzy-logic Approach Applied to Event Announcements on Financial Markets,Institute For Operation Research and the Management Science (INFORMS), Salt Lake City. 25. O. Brandouy (2000), Croissance et décroissance externe Test d un modèle stratégique sur un marché financier expérimental, Congrès de l AIMS, Montpellier. 26. O. Brandouy (2000), Méthodologie expérimentale et Sciences de Gestion perspectives et difficultés, Epistémologie et Méthodologie en Sciences de Gestion, IRG, Paris. 27. O. Brandouy (1998), Création-destruction de valeur dans les modifications des frontières du groupe de sociétés tentative d explication stratégique d un phénomène financier, 14ème Journées Nationales des IAE, Nantes. 28. O. Brandouy (1996), Mesure des rendements Anormaux performance relative des modèles Autorégressifs conditionnellement hétéroscédastiques, 14ème Congrès de l AFFI, Bordeaux. 4.3 Communications in workshops 1. B. Forgues, O. Brandouy (2005), Learning Strategies and Environmental Discontinuities, Workshop Stratégies de Ruptures, Atelier de l AIMS, IAE-USTL, Lille. 2. O. Brandouy (2004), Les marchés financiers comme systèmes complexes pour un enrichissement du cadre paradigmatique classique, Workshop Mieux comprendre la valorisation des titres sur les places boursières Regard Croisés des Sciences Sociales, IAE-USTL, Lille. 3. R. Bachelet, D. Bourghelle, O. Brandouy (2003), Rational versus Conventional Expectations in an Experimental Asset Market, Ecole thématique du CNRS Nouvelle Economie Institutionnelle, Cargèse. -, Note de Recherche de l IAE de Lille,

6 5 Other research activities 5.1 Laboratory responsibilities Responsable de l équipe de recherche en finace computationnelle MITIC (Market Interaction, Trading and Induced Complexity), Lille Economie et Management, UMR CNRS Membre du conseil de laboratoire. 5.2 Grants Titulaire de la PEDR FICAC, fonds pour l action conjointe de recherche en finance quantitative Telacom Bretagne et USTL Lille 1 (+ 1 post doc) FERMAT (Financial Experiments and Researches with Multi-Agent Tools), projet INRIA (National Institute for Research in Computer Sciences and Automatics) en collaboration avec l équipe SMAC (LIFL, UMR CNRS 8022) ACI Systèmes complexes en SHS, Ministère de la recherche et CNRS BQR Complexité, Interaction Stratégique, Coopération, USTL Lille Conference Organisation En collaboration avec K. Kerstens, A Lozano-Vivas et A. Zago, Workshop Fostering a European Network on Financial Efficiency, IFRESI, 25 Février Séminaires de recherche mensuel, MAD-φ (Modelisation Analysis of Financial Dynamics), IFRESI-CNRS. Création de la Conference internationale Artificial Economics 2005 Agent-Based Methods in Finance, Game Theory and their Applications, Lille, September 2005 (actuellement à sa 5ème édition, 2009, Valladolid). En collaboration avec D. Mangalagiu, Workshop Réseaux en SHS, études empiriques et application des outils de modélisation, Ministère de la recherche, Paris, 31 Mars En collaboration avec D. Bourghelle, Workshop Croyances, représentations collectives, conventions en Finance, Lille, 19 Mai Software development and supervision En collaboration avec P. Mathieu (SMAC, Lille 1) ATOM, marché financier artificiel répliquant EURONEXT pour des expériences en microstructure, http// Logiciel déposé à l AGence de Protection des Programmes (brevet logiciel). En collaboration avec R. Bachelet (ECL) jess-x, an open-source software for experimental Finance http// En collaboration with R. Bachelet (ECL) BOTS, extension de jess-x pour la réalisation d expériences en Finance mélant sujets humains et robots artificiels. 5.5 Dissertation committees B. Moulaye Hachem, Université Lille 1, ( 2011) V. To Huy, Université, Université Nancy-2 ( 2011) L. Ureche-Rangau, Habilitation à Diriger des Recherches, Université de Picardie ( 2010) Q. Harlé, UFR 06, Université Panthéon-Sorbonne ( 2010) L. Ma, IAE de Lille, ( 2010, qualifiée MCF 02/2011) N. Makhoul, ENSAM-ESTP Paris Tech ( 2010) S. Picand, ENSAM-ESTP Paris Tech ( 2010) (PhD) A. Mounir, HUB Bruxelles, On the Use of the Shortage Function in Portfolio Theory, ( 2010) H. Sbai, Université de Limoges, Les performances des prises de contrôle le cas des acquisitions par offre publique en France, ( 2009) J. Derveeuw, USTL, Lille 1, Simulation de marchés financiers, ( 2008). (PhD) Gilles Daniel, Université de Manchester, Simulations of an asynchronous double auction order book, ( 2006). 5.6 Dissertation Supervision Defended 1. with Pr. J.-P. Delahaye (Computer Scientist) L. Ma, 10/2006, Regularities and Randomness in Finance a complexity theory based approach, University of 6

7 Sciences and Technologies, Lille 1. (defense, 11/2010, qualified as Assistant Professor, 2011) 2. with Pr. P. Mathieu (Computer Scientist) J. Derveeuw (defense, 01/2008) On-going 1. with Pr. K. Kerstens M. Belarouci, 09/2009, Portfolio Management with non-parametric approaches, University of Lille with Pr. H. Rainelli S. Tahari, 05/2010, Evaluation du Coût du capital en Private Equity (sous convention CIFRE), IAE de Paris, Université Panthéon-Sorbonne. 3. with Pr. P. Mathieu (Computer Scientist) I. Verizhenko, 10/2008, Software Architectures for Automatic Trading, University of Sciences and Technologies, 4. with Pr. X. Lecocq Y. Akale, 10/2006, Competition inter-standards Modélisation des dynamiques de réseaux complexes,university of Sciences and Technologies, Lille Memberships European Financial Management Association Association Française de Finance Society for Non-Linear Dynamics and Econometrics Society for Computational Economics 5.8 Refereeing European Science Foundation Swiss FNRS Academy of Management Artificial Economics Association française de finance Réseau des IAE AIMS Various academic journals includng the Journal of Banking and Finance, Quantitative Finance, International Journal of Information Technology & Decision Making 7

8 6 Administrative Responsibilities 6.1 National level Expert for the habilitation of academic programs in Management Member, as Assistant Professor, of the French National Council for the recruitment of Academics (Conseil National des Universités ( )) 6.2 Local level 10/2011 Master 2 Recherche Science de la Décision et Management des Risques (SDMR) program director, Graduate School of Business and ENSAM ESTP. 09/2007 PhD in Management Sciences (Research) program director, Graduate School of Business. 09/2007 Master 2 in Management Sciences (Research) program director, Graduate School of Business. Elected member, recruitment committee, Graduate School of Business, Lille 7 Teaching Activities Financial Markets, International MBA, Beijin - IAE de Paris Corporate Finance, International MBA, IAE de Paris Integration of European Financial Markets, International Program, IAE de Paris Modélisation Financière Approfondie, Master Finance, IAE de Paris Gestion de Portefeuille, Master Finance, IAE de Paris Produits Optionnels, Master Finance, IAE de Paris Finance, Master MAE, IAE de Paris Finance Computationnelle, Master Recherche, IAE de Paris Modélisation en Gestion, M2 Recherche, IAE Lille Fusions et Acquisitions, M2 Recherche, IAE Lille Options et Derivés, M2 Finance et Développement d Entreprise, IAE Lille Risk Management, M2 Finance et Développement d Entreprise, IAE Lille Theorie Financière, M2 Finance et Développement d Entreprise, IAE Lille Quantitative Finance Financial Engineering, M2 Finance et Développement d Entreprise, IAE Lille Simulation de marchés, M2 Finance et Développement d Entreprise, IAE Lille Finance, Master CAAE, IAE Lille Management Stratégique, Master CAAE, IAE Lille Finance, Ecole Centrale de Lille Experimental Finance, Ecole Centrale de Lille Comptabilité des Sociétés, IAE Poitiers. Management Général, Faculté de Droit et des Sciences Economiques, Université de Limoges Finance d Entreprise, Faculté de Droit et des Sciences Economiques, Université de Limoges Théorie des Organisation, Faculté de Droit et des Sciences Economiques, Université de Limoges Management stratégique, Faculté de Droit et des Sciences Economiques, Université de Limoges Recherche Opérationnelle, Faculté de Droit et des Sciences Economiques, Université de Limoges Finance d Entreprise, Faculté de Pharmacie, Université de Limoges 8