Quantitative researcher specializing in financial mathematics, computational methods, and applied statistics.
I am a Ph.D. Candidate in Finance and Insurance at Université Laval (Québec), supervised by Prof. Marie-Hélène Gagnon and Prof. Gabriel Power. My research sits at the intersection of financial econometrics, commodity markets, and high-frequency data — with a particular focus on how macroeconomic announcements shape speculative dynamics and volatility.
Financial Econometrics Commodity Markets High-Frequency Finance Volatility Modeling Monetary Policy Textual Analysis Financialization Macroeconomic Surprises Bayesian Methods HAR Models
Python R MATLAB Julia C++ SQL LaTeX SAS STATA
High-Frequency Data Econometric Modeling Time Series Simulation Parallel Computing Hedonic Pricing
Université Laval, Québec
2020 — Present
Supervisors: Prof. M.-H. Gagnon & Prof. G. Power
Speculative Trading in Energy Markets: Evidence from Macroeconomic Surprises
Published Journal JEL: G13 JEL: G14 JEL: Q41
with M.-H. Gagnon & G. J. Power — Investigates speculative trading behavior in energy futures markets by examining the impact of macroeconomic surprises on trading activity and price dynamics.
Has Financialization Changed the Impact of Macro Announcements on U.S. Commodity Markets?
Working Paper JEL: G12 JEL: G14 JEL: C58
with M.-H. Gagnon & G. Power — Using high-frequency data, examines how financialization has dampened the impact of macroeconomic release surprises on commodity futures returns and volatility.
Modelling Volatility Dynamics Between Commodity ETFs and Their NAV using BVAR and HAR Models
Working Paper JEL: G12 JEL: G14 JEL: C32
with M.-H. Gagnon & G. Power — Examines volatility transmission between commodity ETFs (crude oil, gold, silver, natural gas) and their underlying assets using HAR-X models and Bayesian VAR.
Returns and Volatility Around FOMC Announcements: A High-Frequency Analysis of Policy Tone and Novelty
Working Paper JEL: E52 JEL: G12 JEL: G14
with M.-H. Gagnon & G. J. Power — Decomposes FOMC policy surprises into tone and novelty via embedding-based textual analysis. Tone drives returns; novelty drives volatility — using minute-level data in a 30-minute window around announcements.
| Year | Conference | Location |
|---|---|---|
| 2024 | 7th Commodity Markets Winter Workshop | Mont-Tremblant, QC |
| 2023 | Canadian Society for Economics — 62nd Annual Meeting | — |
| 2023 | CRREP Presentation Day | Université Laval |
| 2022 | Canadian Society for Economics — 61st Annual Meeting | — |
| 2022 | CRREP Presentation Day | Université Laval |
| Period | Course | Level |
|---|---|---|
| Winter 2025 | GSF-6053 Financial Econometrics I | Graduate |
| Winter 2024 | GSF-6028 Financial Theory | Graduate |
| Fall 2021 – Winter 2023 | GSF-3100 Capital Market (4 semesters) | Undergraduate |
| Winter 2022 | GSF-6053 Financial Econometrics I | Graduate |
| Summer 2022 | GSF-1500 Financial Management | Undergraduate |
GSF-6008 GSF-6025 GSF-6028 GSF-2101 GSF-2102
"Quantitative researcher specializing in financial mathematics, computational methods, and applied statistics."
© 2026 Simon-Pierre Boucher — Québec, Canada