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

Risk Premium investing – A tale of two tails

The 'Size Premium' in Equity Markets: Where is the Risk?

E print https://arxiv.org/abs/1708.00644

Alternative Beta Matters - 2017 Q3 Newsletter

You are in a drawdown. When should you start worrying?

E print https://arxiv.org/abs/1707.01457

Universal scaling and nonlinearity of aggregate price impact in financial markets

E print  https://arxiv.org/abs/1706.04163

Financial crises: how CFM navigates the markets

Asset management firms must adapt or die

Alternative Beta Matters - 2017 Q2 Newsletter

A fractional reaction-diffusion description of supply and demand

E print https://arxiv.org/abs/1704.02638

Alternative Beta Matters - 2017 Q1 Newsletter

The short-term price impact of trades is universal

E print https://arxiv.org/abs/1702.08029