Artur Sepp: Systematic Quant Trend/Vol/Rates/Macro @ArturSepp
All views systematic: https://t.co/hz2IJAhW7R & https://t.co/mGbPf9PtMf. Quant of the Year by Risk Magazine: https://t.co/7MeiDASJc2 papers.ssrn.com/sol3/cf_dev/Ab… Zurich, Switzerland Joined October 2014-
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“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…
In case you want to shift your quant career from crunching numbers to creating our future AI overlords...
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/…
A great book to turn your holiday into a self-study workshop! @__paleologo would you have something like a Q&A forum, if possible to raise some follow-up questions and comments?
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)?
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…
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? @investingidiocy papers.ssrn.com/sol3/papers.cf…
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…
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…
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…
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… https://t.co/nisy1uYtPU
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
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
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…
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…
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
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…
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…
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…
I will participate in a fireside chat on HF manager selection. Just sharing my experience from the both sides of the table. I put up some points for a big picture based on importance (yes, the performance is not what counts the most). Any other considerations? @investingidiocy
Stat Arb @quant_arb
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Corey Hoffstein 🏴�... @choffstein
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Kris @KrisAbdelmessih
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the ghost of groditi�... @GRoditiD
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BETTING PRO WINNERS�... @FrancesGodwini3
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Rich @richkleedotxyz
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Alpha in Academia @AlphainAcademia
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QTS Journal @qtsjournal
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Trend Day Trader AI @trenddaytrader
893 Followers 2K Following 📈 Ride market trends with Trend Day Trader AI! 🤖 Automated solutions for forex & Crypto. Enjoy sniper executions. Let's conquer the markets together! 🚀
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126 Followers 865 Following father to my prince, coin enthusiast💰,sea breeze lover 🍀🍃💦
eq @derimonkeyfin
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valueinvestor.eth @shittysits
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Alan Oliveira @alaninveste
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Stat Arb @quant_arb
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Corey Hoffstein 🏴�... @choffstein
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PyQuant News 🐍 @pyquantnews
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Clifford Asness @CliffordAsness
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Kris @KrisAbdelmessih
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Michael Harris 📈 @mikeharrisNY
33K Followers 520 Following Trader | Trading Strategies | Market Analysis No advice, just insights. Add to a list and never miss a post.
Ralph Sueppel @macro_synergy
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Rob Carver @investingidiocy
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elPythonQuantador @ThePythonQuant
13K Followers 706 Following Ex-Quant Trader. Unapologetically miserable. Views are my own.
ltrd @ltrd_
34K Followers 226 Following In the constant process of mastering doing simple things right. HFT, Low-Latency, Algorithmic Trading.
Michael Green @profplum99
209K Followers 1K Following Chief Strategist Simplify Asset Management | PM of top ranked high yield ETF, $CDX. Not investment advice
Kris Sidial🇺🇸 @Ksidiii
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Carl Carrie (@🏠) @carlcarrie
16K Followers 1K Following Meanderings on markets, microstructure, misinformation, machine learning, metaverses, and multiverses... maybe more. #FinTech #AI #Python - Views are my own.
Andy Constan @dampedspring
174K Followers 359 Following https://t.co/SgaSuGdrox macro & beta @2Graybeards for beta. Both for investor education, Brevan Howard, Bridgewater, Salomon, Dad of 4. Go Penn, No tweet is advice
Bob Elliott @BobEUnlimited
194K Followers 762 Following CIO at @UnlimitedFnds | PM of $HFGM & $HFND | Fmr IC @Bridgewater | Described as one of the few "sane" voices on #fintwit | Comments are not investment advice
Robert @LacertaXG1
11K Followers 862 Following markets, LLMs, epistemology. Views don't reflect the views of my employer etc. I will never be shilling a token
Doug Colkitt @0xdoug
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Michael E. Newton @MichaelENewton1
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The Real Christian Or... @ModestRoots
6K Followers 4K Following #ProudFather #Entrepreneur #Creator #Activist #Developer of #JusticeAI therealchristianortiz | https://t.co/lb3EOtRPOG
mediocrebuysideanalys... @volisdead
4K Followers 566 Following equity volatility / macro portfolio manager at multistrat hedge fund/ all views my own and don’t reflect any views of an employer
Patrick Saner @patrick_saner
19K Followers 644 Following Head Macro Strategy @SwissRe. Former World Bank, SNB and UBS. Views are my own/personal.
Ivan Blanco @iblanco_finance
5K Followers 873 Following Prof. Finance at @CUNEF | Founder at Noax Capital | Director Master in Finance @CUNEF | 💡Asset Pricing & Quant Investment
systematic longshort @systematicls
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Bucket Shop Capital @bucketshopcap
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Epsilon @ordinaryepsilon
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Sarah Butcher @MadameButcher
12K Followers 3K Following Banking and finance news and extemporisation. Tips received at [email protected]
Meghan Reynolds @MeghanKReynolds
18K Followers 618 Following Head Capital Formation & Talent @AltimeterCap. I talk about what I learn from LPs. Mom is what I do best. No Invest Advice Views My Own
Gappy (Giuseppe Paleo... @__paleologo
45K Followers 454 Following Curiosity, wonder, quantitative research. Books, read/written. Desire is that which is missing. Evil twin of @yogappygappy. new book: https://t.co/ygOgypsEQ5
Marcial Messmer @EquityQuant
241 Followers 102 Following Co-Founder @ mu Capital Management | We deliver data-driven equity solutions powered by ML and finance theory. Pythonista, golfer and golf course photographer
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613 Followers 53 Following Dive into the Legendary World of Turtle Trading, Aussie-Style! From bustling Wall Street to Australia's serene shores, the Turtle Trading legacy continues.
Roman | PortfolioOpti... @portfoliooptim
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Jeremy Schwartz @JeremyDSchwartz
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Ukraine 🇺🇦Demo ... @UA_Demos_DACH
4K Followers 5K Following 🇪🇺ukraine related meetings/rallys in germany, austria & switzerland. pls write me if i missed sth out! #NAFO 💓 #kundgebung #demo #WeAreNAFO
Nurlan @nurlanavazli
870 Followers 667 Following Orange pilled ₿. I am trying to understand how the financial markets work. TradFi & DeFi.
Nishant Kumar @nishantkumar07
15K Followers 480 Following Chief Correspondent, Bloomberg. Writes on hedge funds. Talks to his plants. Retweets & likes r not endorsements. Tips to [email protected]
Andrew Chen @achenfinance
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Risk.Net @RiskDotNet
14K Followers 28 Following The inside scoop on financial risk management, markets, investing and regulation, from https://t.co/jjCSfI9bDe. Subscribe to our newsletters: https://t.co/HwrgRyLikI
Toomas Hinnosaar @toomash
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Alan Dunne @alanjdunne
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The Spread Thread @SpreadThread1
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Brett Caughran @FundamentEdge
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Ilan Solot @isolot
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Piotr Pomorski @PtrPomorski
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The Serenity Research @SerenityFund
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The Wizard Of Ops @WizOfOps
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Jungle Rock @JungleRockRes
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Vertox @Vertox_DF
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William Knottenbelt @will_wjk
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GravitySucks @Gravity5ucks
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Tier1 Alpha @t1alpha
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Samneet Chepal @samchepal
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Pierre Andurand 🇺�... @AndurandPierre
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Santiago @svpino
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Python Coding @clcoding
595K Followers 94 Following 🚀 Learn #Python the fun way! 📌 Daily tips, tutorials & projects | Educator | AI Community Partner Free Course https://t.co/l9NKxZVTrz
⿻ Andrew Trask @iamtrask
77K Followers 1K Following https://t.co/AFuOyzX1GY @openminedorg, @GoogleDeepMind, @OxfordUni, @UN, @GovAI_, @CFR_org member, made #GrokkingDL, NALU & sense2vec
Cole Kennelly @ColeGotTweets
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