About
Welcome to my personal website covering my research and blog posts
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BIO
I am a statistician who loves to connect financial applications with science and technology. I am Head of Systematic Solutions and Portfolio Construction at Sygnum Bank’s Asset Management in Zurich, specializing in crypto assets and decentralized finance. Prior, I have led quantitative research at a systematic hedge fund (Quantica Capital) focusing on data-driven investment strategies and asset allocation in global managed futures. Previous roles have been as front office Quant Strategist on the implementation of systematic solutions in private banking (Julius Baer), and on the full-cycle development of quantitative solutions and derivatives in investment banking (Merrill Lynch/BofA).
I have a PhD in Mathematical Statistics from University of Tartu, an MSc in Industrial Engineering and Management Sciences from Northwestern University, and a BA cum laude in Mathematical Economics from Tallinn University of Technology. My expertise covers quantitative investing and asset allocation, modeling of financial markets and instruments, statistical and Machine Learning methods, modern computational and programming tools. I am the author and co-author of several research articles on quantitative finance published in key journals. I am also a member of the editorial board of the Journal of Computational Finance.
You can contact me at artursepp@gmail.com
Recent Posts
- 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
- Machine Learning for Volatility Trading
- Trend-following strategies for tail-risk hedging and alpha generation
- Lessons from the crash of short volatility ETPs
- Diversifying Cyclicality Risk of Quantitative Investment Strategies: presentation slides and webinar Q&A
- Volatility Modelling and Trading: Workshop presentation
- Allocation to systematic volatility strategies using VIX futures, S&P 500 index puts, and delta-hedged long-short strategies
- Why the volatility is log-normal and how to apply the log-normal stochastic volatility model in practice
- Volatility Modeling and Trading: Q&A with Euan Sinclair
- Quantitative Approaches to Wealth Management: An Interview for Instututional Investor Journals
- How to optimize volatility trading and delta-hedging strategies under the discrete hedging with transaction costs