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The Science and Practice of Trend-following Systems: paper and presentation
I would like to introduce the updated draft of my paper co-authored with Vladimir Lucic and entitled “The Science and Practice of Trend-following Systems”. Trend-following systems have been employed by...
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Tail risk of systematic investment strategies and risk-premia alpha
Everyone knows that the risk profile of systematic strategies can change considerably when equity markets turn down and volatilities spike. For an example, a smooth profile of a short volatility...
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My talk on Machine Learning in Finance: why Alternative Risk Premia (ARP)...
I have recently attended and presented at Swissquote Conference on Machine Learning in Finance. With over 250 participants, the event was a great success to hear from the industry leaders and to see...
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Optimal allocation to cryptocurrencies in diversified portfolios – update on...
Cryptocurrencies have been acknowledged as an emerging asset class with a relatively low correlation to traditional asset classes and independent drivers of their long-term performance (see for an...
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Robust Log-normal Stochastic Volatility for Interest Rate Dynamics – research...
The volatility of interest rates in 2022 has been indeed extreme. In Figure 1, I show the dependence the between the MOVE index (which measures the implied volatility of one-month options on UST bond...
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Optimal Allocation to Cryptocurrencies in Diversified Portfolios – research...
Cryptocurrencies have been acknowledged as an emerging asset class with a relatively low correlation to traditional asset classes. One of the most important questions for allocators is how much to...
View ArticleDeveloping systematic smart beta strategies for crypto assets – QuantMinds...
I am delighted to share the video from my QuantMinds presentation that I made in Barcelona in December 2021. Many thanks to QuantMinds organizers for allowing me to share this video. First, it was nice...
View ArticleToward an efficient hybrid method for pricing barrier options on assets with...
I am excited to share the latest paper with Prof. Alexander Lipton. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4035813 We find the semi-analytical solution to one of the unsolved problems in...
View ArticleMachine Learning for Volatility Trading
Recently I have been working on applying machine learning for volatility forecasting and trading. I presented some of my findings at QuantMinds Conference 2018 which I wanted to share in this post. My...
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Trend-following strategies for tail-risk hedging and alpha generation
Because of the adaptive nature of position sizing, trend-following strategies can generate the positive skewness of their returns, when infrequent large gains compensate overall for frequent small...
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Lessons from the crash of short volatility ETPs
Exchange traded products with the short exposure to the implied volatility of the S&P 500 index have been proliferating prior to “Volatility Black Monday” on the 5th of February 2018. To...
View ArticleDiversifying Cyclicality Risk of Quantitative Investment Strategies:...
What is the most significant contributing factor to the performance of a quantitative fund: its signal generators or its risk allocators? Can we still succeed if we have good signal generators but poor...
View ArticleVolatility Modelling and Trading: Workshop presentation
During past years I have found the great value in using implied and realized volatilities for volatility trading and quantitative investment strategies. The ability to stay focused and to follow...
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Allocation to systematic volatility strategies using VIX futures, S&P 500...
I present a few systematic strategies for investing into volatility risk-premia and illustrate their back-tested performance. I apply the four factor Fama-French-Carhart model to attribute monthly...
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