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Recent Posts
- My talk on Machine Learning in Finance: why Alternative Risk Premia (ARP) products failed
- Why Python for quantitative trading?
- Machine Learning for Volatility Trading
- Passive vs Active Investing: The World Is Not Enough
- 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
- Selling volatility in a low volatility regime: the current level of the volatility is a weak predictor for future performance
- Allocation to systematic volatility strategies using VIX futures, S&P 500 index puts, and delta-hedged long-short strategies
Categories
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- Python (1)
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- Trend-following (2)
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- Volatility Modeling (10)
- Volatility Trading (10)