Which asset historically performed well after US election resulting in Divided government: S&P500, DXY (USD), or UST 10y bond? DXY benefited most in such cases More examples: github.com/ArturSepp/Quan… #Python code in qis package: github.com/ArturSepp/Quan…

Join my online talk if interested to learn about "hard-quant" volatility modelling: Friday 18th Oct at 12.00 noon CT / 18.00 UK time cse.umn.edu/mcfam/mcfam-se… (just click the zoom link) I will focus on practical aspects of applying log-normal SV model worldscientific.com/doi/epdf/10.11…

Youtube video and slides of my presentation of log-normal stochastic volatility model New features: 1) dynamics consistent with forward variance by construction, 2) rough dynamics, 3) model calibration to time series of implied vols of #Bitcoin options artursepp.com/2024/10/25/log…

Exciting opportunity for on-site #internship at my team in LGT Zurich Projects: systematic macro strats, ML for alt data, robust portfolio optimisation, equity and fixed income factors Reqs: MSc/PhD, strong Python, Statistics and Data Science, Finance DM me your CV if interested

A nice paper arguing that the rise of bid/ask spread on the put side may have contributed to the spike of the VIX on 5 Aug 2024 ideas.repec.org/p/bis/bisblt/9…

State Street Global Advisors is partnering with Bridgewater to launch an ETF powered by Bridgewater's “All Weather” risk parity strategy ft.com/content/e6954e…

It's a good paper. Normalisation of returns by volatilities helps to stabilize covariance structure You can greatly simplify the math for a practical setting by using EWMA (or integrated Garch with b=1-lambda and a = lambda) for both variances & covariances instead of Garch & DCC

Performance of Oakmark Select is available in Bloomberg (OAKLX) As noticed, most of it alpha came during dotcom crash, more recently alpha decayed: using rolling EWMA beta to SPY ETF This factsheet is generated using #qis Python package (need BBG for data) github.com/ArturSepp/Quan…

I am looking forward to present “The Science and Practice of Trend-following Systems” at London Quant Group hybrid seminar on 13th May at 18.30 in London lqg.org.uk/2025-lqg-event…

Interview with CFM: In terms of alpha, with longer term signals, although you spend a lot of time trying to avoid the in-sample bias, it’s extremely difficult. We had models which we thought were well designed that we had to turn off because they were not globaltrading.net/powered-by-res…

Fantastic talk from Dr. Artur Sepp on 'The Science and Practice of Trend-following Systems' live on stage now. Join now: ow.ly/u3zW50W44nJ #CQF #quant #finance #quantfinance #financeevents #quantevents #quantinsightsconference #quantitativefinance #volatility #risk

Very interesting paper on problems with factor timing. Generally, these problems transfer to any timing strats including (dynamic) regime-conditioning. I do not find that any timing or regime models work well out-of-sample. Any thoughts? Rob Carver papers.ssrn.com/sol3/papers.cf…

Join my online talk on Wed 9th July at 18 UK time to learn about: · New approach to strategic & tactical asset allocation with illiquid private equity and debt · New approach for estimation of covariance matrix of public and private assets cqfinstitute.org/content/indust…

I am planning to migrate my #Python quant analytics from 3.11 to either 3.12 or 3.13. Any preference between 3.12 or 3.13? Any expected problems with common quant packages (pandas, numpy, numba, matplotlib, cvxpy)?

A great book to turn your holiday into a self-study workshop! Gappy (Giuseppe Paleologo) would you have something like a Q&A forum, if possible to raise some follow-up questions and comments?

Do you think it is true that you can apply existing open source LLMs to generate trading strategies or it just marketing bluff? bloomberg.com/news/articles/…

In case you want to shift your quant career from crunching numbers to creating our future AI overlords...

“The Science and Practice of Trend-following Systems“: “We present a unified approach to the design of trend-following systems and their classification into European, American, and Time Series Momentum systems.” papers.ssrn.com/sol3/papers.cf…

🏆 Honored to be a Quant Strats Hot 10 finalist! If my research work has resonated with you and added value to your work, I'd be grateful for your vote: docs.google.com/forms/d/e/1FAI… Looking forward to connecting at Quant Strats conference in London on 14-15 October!