S4E16: Jérémy L'Hour, Econometrics and Machine Learning, Capital Fund Management and CREST

Welcome welcome one and all! This is the newest episode of the The Mixtape with Scott where we talk to living economists, ask them what they wanted to be when they were little, learn what and how they did become, are becoming, what they became as an adult, and this week too, the road less traveled.

This week’s guest is named Jérémy L’Hour. I first learned about Jeremy because of a JASA on synthetic control he wrote with Alberto Abadie a few years ago entitled “A Penalized Synthetic Control Estimator for Disaggregated Data”. I then learned that Jérémy had studied with Xavier D’Haultfoueuille, the econometrician and coauthor to the famed difference-in-differences estimator in the AER that helped launch a thousand ships on difference-in-differences with differential timing. I reached out to see if we might talk as Jérémy has a story that I have not had a chance to hear about.

Jérémy is the author of Machine Learning for Econometrics with Christophe Galliac which is forthcoming at Oxford University Press. And of course he is the author of the JASA on synthetic control with Abadie. But interestingly, he is not an academic. Rather, he works for a hedge fund called Capital Fund Management. Which was another reason I wanted to talk to him.

The last many years, we’ve seen more and more talented economists go into industry rather than academia, but mostly I interview economists in tech. I haven’t interviewed anyone who is at a hedge fund before, and I thought that that might be an interesting guest. There’s always a lot of uncertainty in the job market, but maybe now more than ever, and hearing about more options in the private sector would be useful to people all over the world.

So thank you again everyone for supporting the substack and the podcast. I appreciate it immensely as it helps me to do what I love which is listening to people’s stories. I hope you enjoy this interview as much as I did.

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