Welcome - Bienvenue - 欢迎 !

Welcome to the website of Romain Lafarguette (罗哲文), lead quant strategist, senior vice-president at GIC (Government of Singapore Investment Corporation), the sovereign wealth fund of Singapore.

I manage a team of 6 quants in asset allocation and global macro modeling for GIC Fixed Income and MultiAssets (FIMA) department. We support GIC portfolio managers in optimizing and allocating multi-billions portfolios; we also carry macro signals research for systematic and discretionary trading.

As a quant, I design and implement quantitative macroeconomic signals (forecasting, nowcasting, regimes modeling, etc.) and leverage density modeling and optimization methods for asset allocation. I use alternative and standard data, statistics (frequentist and Bayesian), and machine learning, mostly in the time series space. I also handle backtesting, package deployment and some quant production-related issues.

I combine technical skills in financial modeling, programming, and quantitative macroeconomics with more than 10-year operational experience with ADIA - the sovereign wealth fund of Abu Dhabi, the International Monetary Fund in Washington D.C. and the European Central Bank in Frankfurt.

While at the IMF, I have done missions to more than 25 countries, covering monetary and financial issues, on technical assistance, IMF financing programs, and surveillance. I also led teams of 3 to 7 people on technical assistance missions to central banks.

I also taught quantitative financial methods, quantitative macroeconomics and inferential statistics to government officials and IMF staff.

I hold a Ph.D. in financial economics from Peking University and the Paris School of Economics, and a master degree in applied mathematics and statistics from ENSAE ParisTech.

I am a “normalien”, former student of the Ecole Normale Superieure Paris-Saclay. I speak fluently English and Chinese Mandarin. I am a native French-speaker.

I used to be active on Github, but my current role does not allow me to publish new packages. You can also find me on LinkedIn, Vox and IDEAS/RePEc

Disclaimer: This is my private website. The views expressed here are my own and do not necessarily reflect those of the institutions I am currently affiliated with or have been affiliated with.