Artur Sepp Blog on Quantitative Investment Strategies

Recent Posts

• 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