Co-existence of Trend and Value in financial markets: Estimating an Extended Chiarella Model

E print: https://arxiv.org/abs/1807.11751

 

Alternative Beta Matters - 2018 Q3 Newsletter

Artificial Intelligence: perspectives from the quant coalface

Is ESG an equity factor or just an investment guide?

E print: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3207372

 

The real reason to include Trend Following in a portfolio (hint: it’s not as a hedge)

Improving trade execution systematically

North America Spring Seminar summary

Is there a 'new normal' in Volatility Markets?... Probably not!

Alternative Beta Matters - 2018 Q2 Newsletter

Alternative Beta: A strategy that hits the portfolio sweet spot

Co-impact: Crowding effects in institutional trading activity

E print: https://arxiv.org/abs/1804.09565

The Convexity of Trend Following

Alternative Beta Matters - 2018 Q1 Newsletter

Buy-side quant of the year 2018 - Jean-Philippe Bouchaud

Black was right: Price is within a factor 2 of Value

E print: https://ssrn.com/abstract=3070850

Mini-symposium on automatic differentiation and its applications in the financial industry

E print:  https://doi.org/10.1051/proc/201759056

Explaining hedge fund index returns

Alternative Beta Matters - 2017 Q4 Newsletter

Demystifying smart and alternative beta

Nonlinear price impact from linear models

E print http://lanl.arxiv.org/abs/1708.02411