Yann Coatanlem – DataCore Innovations CEO
Prior to joining DataCore Innovations, Yann Coatanlem was a Managing Director at Citi where he worked for 25 years, starting on the Arbitrage Desk of Salomon Brothers in 1994. He was the Global Head of Citi’s Multi-Asset Quantitative Analysis Group, overseeing the development of quantitative and econometric models across multiple asset classes in derivatives pricing, counterparty credit risk, portfolio margining, regulatory capital, capital optimization, collateral management and model risk management. He has extensive expertise of financial markets and quantitative trading strategies.
Yann is President of the Club Praxis, a French-American think tank that promotes open government and civic technology, Foreign trade adviser to the French Prime Minister, Chairman of La Maison Française of New York University and President of the American Foundation for the Paris School of Economics. He also sits on the boards of Paris School of Economics, the European-American Chamber of Commerce and French Heritage Society. He holds a Master of Applied Mathematics from Ecole Nationale Supérieure d’Informatique et de Mathématiques Appliquées de Grenoble, and a Master in Finance from Hautes Etudes Commerciales in Paris.
Yann has contributed many articles, op-eds or book sections and is the author of Le Gouvernment des Citoyens (2017). He was awarded the special prize of the French Academy for Social and Political Sciences in 2018. He was named Chevalier in the National Order of Merit by the French Government, and is a recipient of the Gold Medal of La Renaissance Française.
Dr. Raphael Douady – DataCore Innovations Founder and Chief Scientist
Mathematician and Economist: Former Head of Quantitative Finance program within the Applied Mathematics and Statistics department at SUNY Stony Brook University; Researcher at C.N.R.S. (French National Centre for Scientific Research); Former professor at the Centre d’Economie de la Sorbonne, University of Paris 1; Academic director of LabEx ReFi; Founder and entrepreneur, Riskdata S.A.
Raphael Douady is a world-renowned French mathematician and economist, specialised in financial mathematics, dynamical systems and chaos theory. With more than twenty years experience in the banking industry (risk management, option models, trading strategies) and thirty years research in pure and applied mathematics, Dr. Douady is known globally for his highly sophisticated quantitative solutions and statistical analysis of financial markets.
A former fellow of Ecole Normale Supérieure in Paris, he earned his Ph.D. in 1982 in Hamiltonian dynamics and became strongly involved in Finance in 1993. He has been affiliated with University of Paris 1-Sorbonne Economic Center (CES) and is a Researcher at French National Center for Scientific Research (CNRS). He has also been appointed Visiting Professor at New York University Polytechnic Institute. Dr. Douady has lead and organized numerous academic and practitioner conferences around the world. Such events include the New York University seminar of Mathematical Finance and Paris Europlace conferences. His most recent research topics are Hedge Funds risks, for which he has developed especially suited powerful nonlinear statistical models at the origin of Dominant Factor Analysis™, and systemic risk. Dr. Douady is a regular research collaborator and co-author with Nassim Taleb of several articles on black swans, fragility theory and extreme risks. Nassim Taleb is the author of the bestselling book, The Black Swan: The Impact of the Highly Improbable. Together they founded the Real World Risk Institute.
Raphael Douady is the co-founder, former head of research and manager of the US branch at Riskdata, a market-leading provider of risk management tools for investors, asset managers, hedge funds, fund of funds, and pension funds.
He has been appointed as academic director of the French “Laboratory of Excellence” devoted to financial regulation (LabEx ReFi). LabEx ReFi plays an important role in the development of European financial regulation as it relates to systemic risk. http://www.labex-refi.com/en/
He is also a member of the Praxis Club, a New York-based think tank advising the French government on its economic policy and other related topics and serves on the “risk committee” of Finance Innovation, a French official entity supporting innovation in financial software.
John P. Drohan III
John P. Drohan III – DataCore Innovations Co-Founder & Chairman
Jack Drohan brings a decade of trading experience to his New York law firm Drohan Lee. When John P. Drohan III started focusing his law practice on commodities and investment advisory law and regulation two decades ago, he did so following 11 years of institutional trader experience as a senior capital markets dealer for such banks as First Chicago International and Deutsche Bank.
Jack’s practice includes derivatives transactions, domestic and offshore hedge fund formation and investment due diligence. In 1995, he became a partner in Drohan & Drohan LLP until that firm merged into Drohan Lee LPP in 2007.
Before launching his legal practice, Drohan’s trading experience included all major spot and forward currencies, money market instruments, options and derivatives. His combined hands-on financial and legal experience makes him a sought after speaker, addressing the hedge fund industry and academic conferences.
Drohan graduated from Washington University at St. Louis in 1982. He earned a Master of Business Administration in Finance and Investments from Baruch College in 1986, and his Juris Doctorate from Brooklyn Law School in 1990, where he was on the Brooklyn Law Review.
He is also Americas regional President of ACI Financial Markets Association, the 15,000 – member global best practices group for the wholesale capital markets since 1955. He has published articles on financial economics, federal civil procedure and commodities regulation.
Dr. Robert J. Frey – Advisory Board
Research Professor, Ph.D., 1986
Stony Brook University: Quantitative Finance
Robert Frey had worked in an array of operations research related managerial positions before earning his PhD as a part-time student in 1986. Then he became involved in designing mathematically based financial trading systems, first at Morgan Stanley, then at Kepler Associates, and finally at Renaissance Technologies, from which he retired at the rank of Managing Director in 2004. Among his many current activities, he chairs the advisory committee of the U. of Chicago Financial Mathematics program (the country’s top ranked quantitative finance program), is co-owner of a small investment bank in London, and heads a construction company. Frey just launched his own hedge fund, Frey Quantitative Strategies, with initial capital of $365 million.
Rostislav S. Protassov
Dr. Rostislav S. Protassov – DataCore Innovations Co-Founder
Dr. Protassov has over 10 years of experience analyzing portfolio-level risk in complex cross-asset portfolios. As a Director at Citi Global Portfolio Optimization and Counterparty Trading group focusing on Cross Product Margining (CPM), he lead several successful projects delivering bespoke risk-based margining solutions to Citi Platinum clients to provide holistic coverage to clients' trading in different asset classes and across Citi legal entities. The resulting agreements covered portfolios in hundreds of millions of dollars in VaR. Dr. Protassov has developed models and tools to dissect and expose key risk concentrations and drivers in otherwise complex portfolios in a way that makes it explicit what mitigating actions can be taken. At Citi he frequently performed portfolio-level risk analysis both for existing and prospective portfolios at the request of trading desks and Citi Risk & Credit Officers. Dr. Protassov represented Citi at ISDA SIMM effort both on the Risk & Model Calibration Workstream and the ISDA SIMM Oversight Committee. He has extensive client-facing and regulator-facing experience.
Dr. Protassov has a Ph.D. in Statistics from Harvard University. He was the first researcher to provide MLE and Bayesian estimation methods for the general multivariate case of the Generalized Hyperbolic distributions introduced in 1977. These distributions show excellent empirical fit to size-type data, including sizes of losses in portfolios of financial assets. Prior to Harvard he obtained a MSc degree in Pure Mathematics from Northeastern University in Boston.
In 2002 Dr. Protassov joined FleetBoston Financial as a Financial Engineer in Capital Markets Analytics group. At Fleet, he was responsible for development of Risk and PFE calculation methodologies, life-cycle risk analysis of bespoke portfolio deals, as well as for supporting activities of the Credit Derivatives Desk from the risk side.
At Citi, Dr. Protassov first joined the Multi-Asset Quantitative Research group in 2004 where he developed and implemented risk models for cross-asset portfolios. His work in Research coincided with Dr. Douady's stint there as a consultant on the Cross Product Margining initiative. The two worked very closely together for a few years. Dr. Protassov then moved to the Front Office where he worked with Citi Institutional Clients covering both Citi standard CPM offering and bespoke situations with key relationships.
He is an avid traveller, fluent in three languages, and visited 20+ countries with significant stay periods in some of them.
Dr. Luca Donà – DataCore Innovations Scientist
Luca Donà is a mathematician and economist with academic and business experience. He holds a PhD in Mathematics (Rice University, Houston, TX) and an MBA in Finance (MIT, Cambridge, MA) and has practical business and consulting experiences in securities and corporate finance, business strategy, and entrepreneurship. His main areas of expertise and current research are Economics, Portfolio Management, Anti-Fragility, Business Strategy.
Luca Donà started out his career as the Founder & Principal of RenderTech, Inc. a Houston-based firm that specialized in the consulting and development of multimedia training and marketing projects. From 2006 to 2008, he was Director of Quantitative Research and Portfolio Strategist at a $500M+ NY area Quantitative Equities hedge fund where he was in charge of managing the fund’s quantitative equities investment strategies and, since 2012, has operated ELLE Investments, a small family-office fund that utilizes both Quantitative and Fundamentals-based strategies.
Ongoing since 2002, he participated in a number of consulting and business management projects including Financial securities & Economics analysis for litigation in major lawsuits, entrepreneurship and business development projects. He also developed a public building in Houston that is now the home of the Houston Museum of African American Culture (see http://hmaac.org).
Luca Donà is also a regular writer on Seeking Alpha about security selection and markets quantitative analysis.
Ying Zhang – DataCore Innovations Scientist
Ying Zhang obtained her PhD from Stevens Institute of Technology in Aug 2020, majoring in Applied Mathematics with a thesis in fluid dynamics. Being a certified data scientist of The Data Incubator, she has also finished projects in NLP, recommendation system, and feature detection.
With a strong background in mathematics and python, she found her interest in exploring the usage of machine learning and statistics in quantitative finance modeling, such as Polymodel theory and its applications to the general real-world financial problems.
She has received many scholarships and rewards during school and was active in events promoting the primary education of mathematics. She is also an avid rock climber.
Siqiao (Alysia) Zhao
Siqiao (Alysia) Zhao – DataCore Innovations Scientist
Siqiao Zhao is a PhD student majoring in Applied Mathematics & Statistics at SUNY at Stony Brook University, specializing in quantitative finance track. Her main research interests include statistical learning methods and their applications to high-frequency data, and Polymodel theory and its applications to the general real-world financial problems. Currently, she is also interested in the interaction between finance and reinforcement learning.
She got her Bachelor degree of double majors: pure mathematics and applied mathematics and statistics in two years with a major GPA 3.96/4.00 from Stony Brook University. She has received many scholarships and rewards due to her outstanding academic performance.