BonettiArbitrage Lab

We trade for our own account, and publish what we learn.

Bonetti Arbitrage Lab is a Paris proprietary trading firm with its own research programme in mathematical finance. We study how liquidity, climate and cyber shocks reach prices, then test those models against the markets we trade.

See the research programme Get in touch
rt = St − qt γ σ2 (T − t)

A market maker's reservation price. Holding inventory q, the maker shades both quotes against it, and the shading fades as the trading horizon T closes.

  • Mid-price S
  • Reservation price r
  • Bid and ask quotes

Research programme

Research at the lab is done in-house, written up as working papers and submitted to peer-reviewed journals. We work on three axes, each built on stochastic models that follow a shock from where it starts to the prices of the assets exposed to it.

  • rt = St − qt γ σ2 (T − t)
    Reservation price of a market maker holding inventory q.

    Market microstructure

    How order flow, inventory and liquidity shape the prices at which anyone can trade. We model limit order books, market impact and optimal quoting, and confront the models with the firm's own execution data.

    This is the axis closest to our trading, and the one where a result can be checked against real fills.

  • c̄it = (ωit + rit + yit δt) eγ(Tt − T0)
    Effective cost per unit of output for sector i, raised by the carbon price δ and by warming T.

    Climate transition risk

    How carbon prices and global warming travel from firms' production costs to credit portfolios, collateral values and asset prices. The question for markets is how much of this risk is priced today, and where the pricing breaks down.

  • Yt = 1N0KΣk=1 βk,t k Ik,t
    Force of infection of a cyber epidemic spreading through a network of firms.

    Cyber and emerging risks

    How cyber attacks spread between firms, what they cost the insurers and lenders exposed to them, and how markets react to large incidents. We build contagion models that connect an attack to the losses it produces in a portfolio.

Publications

Every paper produced at the lab carries the Bonetti Arbitrage Lab affiliation and is posted here with a link to its preprint.

Lab working papers

The lab's first working papers are in preparation. They will appear here as soon as the preprints are posted.

To hear when they are out, write to research@bonetti-lab.com.

Earlier work by the founder

The founder's five most recent articles, written before the lab was set up under ENSAE Paris, Institut Louis Bachelier and Université Paris Cité affiliations.

The firm

Founded in Paris in 2025, Bonetti Arbitrage Lab is a simplified joint-stock company (SAS). It acts only for its own account, with its own capital.

Trading for its own account
Buying, selling and holding financial instruments of every kind: shares, bonds and other debt securities, fund units, futures, currencies and derivatives. Every strategy starts as a model and trades against an explicit risk budget.
Holdings and portfolio management
Taking stakes in companies and managing the firm's own securities portfolio over the long term.
Research
Analysis and research on financial markets and investment, set out in the research programme above.

We do not manage money for anyone else, take client orders, give investment advice or solicit investment.

Lionel Sopgoui

Founder and President

Lionel holds a PhD in mathematical finance from Université Paris Cité and was a postdoctoral researcher at ENSAE Paris and Institut Louis Bachelier until November 2026. He leads the lab's research and its trading.

He will be a visiting researcher at Fundação Getulio Vargas and at UCLA during 2026–2027.

Personal page
liomaix.github.io
Google Scholar
Publication record

Contact

We are glad to hear from researchers who want to collaborate, and from institutions we work with. We reply within five working days.

research@bonetti-lab.com

Research collaborations, seminars, visits, or everything else

Bonetti Arbitrage Lab
Paris, France