In-sample overfitting: avoiding the pitfalls in data mining

Why have asset price properties changed so little in 200 years

E-print: http://arxiv.org/abs/1605.00634

Tail protection for long investors: convexity at work

E-print: http://ssrn.com/abstract=2777657

Alternative Beta Matters - 2016 Q2 Quarterly Report

Dissecting cross-impact on stock markets: An empirical analysis

E-print: http://arxiv.org/abs/1609.02395

Price impact without order book: A study of the OTC credit index market

E-print: http://arxiv.org/abs/1609.04620

Alternative Beta Matters - 2016 Q3 Quarterly Report

Agnostic Risk Parity: Taming Known and Unknown-Unknowns

E-print: https://arxiv.org/abs/1610.08818

Executing with impact: why the price you want is not the price you get!

Modelling forward looking returns and combining traditional and alternative benchmarks

Trading lightly: cross-impact and optimal portfolio execution

E-print: https://arxiv.org/abs/1702.03838

The short-term price impact of trades is universal

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

Alternative Beta Matters - 2017 Q1 Newsletter

A fractional reaction-diffusion description of supply and demand

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

Alternative Beta Matters - 2017 Q2 Newsletter

Making optimisation techniques robust with agnostic risk parity

Financial crises: how CFM navigates the markets

Asset management firms must adapt or die

Universal scaling and nonlinearity of aggregate price impact in financial markets

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

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

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