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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...
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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...
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...
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 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...
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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...
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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 – 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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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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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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