Artur Sepp Blog on Quantitative Investment Strategies

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