About
Welcome to my personal website covering my research and blog posts
I am Global Head of Quantitative Analytics at LGT Private Banking, Zurich, leading a quant team of 10+ across portfolio construction, factor analytics, systematic macro, and applied GenAI. I lead the development of ROSAA (Robust Optimization of Strategic and Active Asset Allocation), our framework for multi-asset mandates, published in the Journal of Portfolio Management (2026).
20+ years across the sell-side and buy-side — equity, credit and rates derivatives, a systematic CTA, crypto/DeFi, now private banking — and one pattern holds: volatility regimes migrate across asset classes, and models that feel robust fail at the worst moment. I build frameworks designed to survive regime change and to institutionalize investment knowledge — analytics in service of wealth measured in generations.
Risk Magazine Quant of the Year 2024. Co-author of the log-normal beta stochastic volatility model; ~1,200 citations. I also co-develop open-source Python libraries for quantitative finance — portfolio optimization, stochastic volatility, factor models — downloaded 300,000+ times by practitioners and researchers worldwide.
PhD in Mathematical Statistics, University of Tartu. Associate Editor, Journal of Computational Finance.
Outside finance: Brazilian Jiu-Jitsu purple belt, competing in IBJJF tournaments. The lessons from the mat – patience, adaptability, and problem-solving under pressure – carry over to my life.
My profile for Quant of the Year – Risk Awards 2024: https://www.risk.net/awards/7958305/quant-of-the-year-artur-sepp
You can follow me and my research on public profiles:
You can contact me at artursepp@gmail.com
Recent Posts
- The Science and Practice of Trend-following Systems: paper and presentation
- Lognormal Stochastic Volatility – Youtube Seminar and Slides
- Optimal allocation to cryptocurrencies in diversified portfolios – update on research paper
- Unified Approach for Hedging Impermanent Loss of Liquidity Provision – Research paper
- Log-normal stochastic volatility with quadratic drift – open access publication
- Stochastic Volatility for Factor Heath-Jarrow-Morton Framework – research paper
- AD Derivatives podcast on volatility modeling and DeFi
- What is a robust stochastic volatility model – research paper
- Robust Log-normal Stochastic Volatility for Interest Rate Dynamics – research paper
- Optimal Allocation to Cryptocurrencies in Diversified Portfolios – research paper
- Log-normal Stochastic Volatility Model for Assets with Positive Return-Volatility Correlation – research paper
- Developing systematic smart beta strategies for crypto assets – QuantMinds Presentation
- Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility – research paper
- Paper on Automated Market Making for DeFi: arbitrage-fee exchange between on-chain and traditional markets
- Tail risk of systematic investment strategies and risk-premia alpha
- Trend-Following CTAs vs Alternative Risk-Premia (ARP) products: crisis beta vs risk-premia alpha
- My talk on Machine Learning in Finance: why Alternative Risk Premia (ARP) products failed
- Why Python for quantitative trading?
- Machine Learning for Volatility Trading
- Trend-following strategies for tail-risk hedging and alpha generation