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Prof. Dr. Hans-Jörg von Mettenheim is the director of the Chair of Quantitative Finance and Risk Management. The Chair monitors trends in the application of algorithms in finance and, more specifically, has developed a specialization in applying Artificial Intelligence towards Sustainable Finance (sustAInability).

Challenges of AI in Finance

Today's financial world is dominated by the application of algorithms and entirely data-driven. The application of AI methods is ubiquitous. However, the question remains: how can the application of AI in finance help improve financial markets? Can AI lead to better decisions on financial markets and, especially, lead to more sustainable investments? The Chair has contributed to the development of a database for this purpose that is available for academic purposes at https://esg.cafe and packaged under https://aidata.green as a web application.

Strengthening ties with the industry and producing relevant research

¾ÅÉ«ÊÓƵ established its Quantitative Finance and Risk Management Research Chair in 2016 to contribute to the analysis of algorithms in Finance in a broad sense and the assessment of their opportunities and risks.
The Chair, which is directed by Hans-Jörg von Mettenheim - PhD, full professor at ¾ÅÉ«ÊÓƵ, founder and Secretary-General of the Forecasting Financial Markets Association (FFMA) - puts market expertise and unique datasets at the heart of this research. The Chair regularly co-organises conferences and seminars to encourage knowledge-sharing between researchers and practitioners, mostly the yearly Forecasting Financial Markets conference. Its work and publications aim at strengthening financial actors' algorithmic trading and risk management strategies. Most notably, the application of big data techniques and data-based machine learning to sustainability scoring is a line of research.

Social Impact

• The Chair has developed an eco-system within and outside of ¾ÅÉ«ÊÓƵ with ties to practitioners in France, Luxembourg, and Germany, among others. The quant¾ÅÉ«ÊÓƵ students aim to introduce students to sustainable quantitative asset management.
• The Chair is a leader on the Erasmus+ project TRUSTFinance, which aims at providing accessible sustainable finance lectures.

Recent Publications

• Grosse, R., Le H.V., Liu F., von Mettenheim, H.-J. (2023). Portfolio management with ESG news sentiment. Bankers, Markets & Investors, Nr 172-173, p.72-84
• Goutte, S., Le, H.V., Liu, F., von Mettenheim, H.-J. (2023) Deep learning and technical analysis in cryptocurrency market. Finance Research Letters 54, 103809
• Le, V.H., Goutte, S., von Mettenheim, H.-J. (2023) News-based sentiment: can it explain market performance before and after the Russia-Ukraine conflict? The Journal of Risk Finance 24(1), pp. 72-88
• Desforges, P., Geissler, C., Liu, F. (2023) Analysis of the relevance of sentiment data for the prediction of excess returns in a multiasset framework. Journal of Forecasting 42(6) pp. 1360-1369
• Tholl, J., Schwarzbach, C., Pittalis, S., & von Mettenheim, H.-J. (2020). Bank funding and the recent political development in Italy: What about redenomination risk?. International Review of Law and Economics, 64, 105932.
• Akyildirim, E., Corbet, S., Nguyen, D. K., & Sensoy, A. (2020). Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework. International Review of Law and Economics, 105907.
• Von Mettenheim, H.-J. (2019). Applied Machine Learning for Quantitative Trading. Bankers, Markets, Investors.
• Nguyen, D. K., & Vo, D. T. (2020). Enterprise risk management and solvency: The case of the listed EU insurers. Journal of Business Research, 113, 360-369.
• Wegener, C., Basse, T., Sibbertsen, P., & Nguyen, D. K. (2019). Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany. Annals of Operations Research, 282(1-2), 407-426.
• Arouri, M., M’saddek, O., Nguyen, D. K., & Pukthuanthong, K. (2019). Cojumps and asset allocation in international equity markets. Journal of Economic Dynamics and Control, 98, 1-22.

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Prof. Dr. Hans-Jörg von Mettenheim
hj.von-mettenheim@ipag.fr
+33 7 54 26 17 27