Key Takeaways
- • Natascha Hey, a postdoctoral researcher at Columbia Business School and PhD graduate from École Polytechnique, is affiliated with Capital Fund Management (CFM), a Paris-based quantitative asset management firm using systematic trading techniques across global markets.
- • Hey's research focuses on market microstructure, specifically trading dynamics with concave price impact and impact decay—work published in peer-reviewed journals including Risk and cited 26+ times, indicating institutional relevance to algorithmic trading strategy design.
- • Hey was awarded the Women in Quant Finance Scholarship supported by CFM and has become an advocate for gender diversity in quantitative finance, reflecting broader industry recruitment trends.
- • CFM operates as a global quantitative asset manager using data-driven methodologies and systematic investment strategies, with offices in Paris and New York (510 Madison Ave, Floor 29).
- • Hey participated in the Cornell Financial Engineering Manhattan 2024 "Future of Finance & AI Conference," suggesting active engagement with academic and institutional discussions on AI's role in modern financial markets.
Summary
Natascha Hey represents the emerging generation of academic researchers and practitioners bridging quantitative finance theory with institutional asset management practice. Holding a PhD from École Polytechnique completed in collaboration with Capital Fund Management (CFM), Hey has established herself within both academic and industry circles, currently serving as a postdoctoral researcher and adjunct professor at Columbia Business School while maintaining affiliation with CFM's research operations.
Hey's scholarly contributions focus on market microstructure and algorithmic trading optimization, particularly the impact of trade execution on market dynamics. Her published work on "trading with concave price impact and impact decay," co-authored with Iacopo Mastromatteo of CFM and Johannes Muhle-Karbe, has garnered significant citations (26+) within the quantitative finance research community, indicating that her findings address practical challenges faced by institutional traders managing large positions. This research directly informs execution algorithms and portfolio construction methodologies employed by systematic trading firms.
Capital Fund Management itself operates as a quantitative-driven global asset manager headquartered in Paris with significant U.S. operations. The firm employs modern quantitative techniques to develop systematic investment strategies across diversified asset classes and global markets. Jean-Philippe Bouchaud, CFM's Chief Scientist and member of the Académie des Sciences, keynotes major financial conferences, underscoring CFM's thought leadership in quantitative finance and artificial intelligence applications.
Hey's receipt of the Women in Quant Finance Scholarship—supported directly by CFM—coupled with her advocacy for increased female participation in quantitative fields, reflects both her commitment to diversity and CFM's institutional focus on broadening talent pipelines in a field historically dominated by male practitioners. Her participation in the Cornell Financial Engineering Manhattan 2024 conference on "Future of Finance & AI" demonstrates active engagement with conversations on machine learning and AI's transformative role in investment management.
Hey's scholarly contributions focus on market microstructure and algorithmic trading optimization, particularly the impact of trade execution on market dynamics. Her published work on "trading with concave price impact and impact decay," co-authored with Iacopo Mastromatteo of CFM and Johannes Muhle-Karbe, has garnered significant citations (26+) within the quantitative finance research community, indicating that her findings address practical challenges faced by institutional traders managing large positions. This research directly informs execution algorithms and portfolio construction methodologies employed by systematic trading firms.
Capital Fund Management itself operates as a quantitative-driven global asset manager headquartered in Paris with significant U.S. operations. The firm employs modern quantitative techniques to develop systematic investment strategies across diversified asset classes and global markets. Jean-Philippe Bouchaud, CFM's Chief Scientist and member of the Académie des Sciences, keynotes major financial conferences, underscoring CFM's thought leadership in quantitative finance and artificial intelligence applications.
Hey's receipt of the Women in Quant Finance Scholarship—supported directly by CFM—coupled with her advocacy for increased female participation in quantitative fields, reflects both her commitment to diversity and CFM's institutional focus on broadening talent pipelines in a field historically dominated by male practitioners. Her participation in the Cornell Financial Engineering Manhattan 2024 conference on "Future of Finance & AI" demonstrates active engagement with conversations on machine learning and AI's transformative role in investment management.
Go deeper than the headline
Research every firm in this story, track the ones that matter and get the daily briefing — free for 7 days.