Artur Sepp Blog on Quantitative Investment Strategies

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    Posted at 10:16 pm by artursepp, on October 30, 2017

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    • 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
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