About
Welcome to my personal website covering my research and blog posts
I am a statistician and quant researcher who loves to connect financial applications with science and technology. I have been working in quant research, portfolio management, and trading of quantitative investment strategies at an investment and a private bank, a hedged fund and a family office. 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. In my free time, I enjoy practicing Brazilian Jiu-Jitsu.
You can follow me and my research on public profiles:
My profile for Quant of the Year – Risk Awards 2024: https://www.risk.net/awards/7958305/quant-of-the-year-artur-sepp
You can contact me at artursepp@gmail.com
Recent Posts
- 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
- 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