Artur Sepp: Systematic Quant Trend/Vol/Rates/Macro @ArturSepp
All views systematic https://t.co/hz2IJAhW7R. Quant of the Year by Risk Magazine: https://t.co/YFnYNK11yt papers.ssrn.com/sol3/cf_dev/Ab… Zurich, Switzerland Joined October 2014-
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My gold at #BJJ AJP’s tour. In sports and in life you got to enjoy these short moments of glory... Just before resuming to work hard again
Gaussian mixture distribution (GMM) is a fast way to fit market implied vols Unlike fitting using implied vol materialization, GMM is arbitrage free (in strike space) There are pros&cons depending on the application See example for fitting SPY implied vols github.com/ArturSepp/Stoc…
8/ In other words, high interest rates imply something about the market environment, and managed futures tend to do better in such an environment. AQR has suggested precisely this.
“The risk-adjusted returns of momentum strategy have historically been better than one of buy&hold. Trend following is all about extracting behavioral biases. In #crypto you see excesses, FOMOs, panics-which can be captured with those systematic strats” bnnbloomberg.ca/quant-momentum…
Nice paper from @ManAHL on overlay of 60/40 portfolio with #trendfollowing: One should utilize cash-efficiency of managed futures & use an overlay for allocation to a trend-following program They don't spell it but this is return stacking of @choffstein man.com/maninstitute/h…
#CTA traders, if you added #Bitcoin to your tradable universe, did you go for 1) CME big contract (*5 #BTC) 2) CME mini (*0.1) 3) Perp on a Crypto CEX Problems: 1,2) Liquidity/spreads are not great 3) Is not feasible for inst accounts @investingidiocy @twoquants @rjparkerjr09
#CTA traders: what is best/efficient data provider you use for historical futures chains with prices&volumes? Bloomberg is ok for current snapshot but too much hassle for history CSI is good but only 30y of history, UI is outdated Anything else? @investingidiocy @rjparkerjr09
Tomorrow at a free online CQF event, I will show how to combine the knowledge of statistical measure P, risk-neutral measure Q, and risk-preferences for modeling risk-premia of assets and volatility strategies as implied by P and Q measures. Join here qiconference.com/portfolio-mana…
Stochastic Volatility for Factor Heath-Jarrow-Morton Framework [@ArturSepp] dlvr.it/T3XMtM
@quantpedia @ArturSepp wrote a paper on this subject of how to "best" include cryptocurencies into a standard portfolio (stocks, bonds, alts.), using different asset allocation algorithms -> papers.ssrn.com/sol3/papers.cf…
Interesting data on performance of risk-parity funds. None can beat 60/40 in the long run >10y. Some also have a considerable leverage I think equalizing risk alone may not work long-term Surely adding some #trendfollowing signals may help @rjparkerjr09 markovprocesses.com/blog/risk-pari…
There is a very good paper by L.C.G. Rogers on estimating correlation from high, low, opening and closing prices arxiv.org/pdf/0804.0162 This estimator can be applied to non-asynchronous data
There is a very good paper by L.C.G. Rogers on estimating correlation from high, low, opening and closing prices arxiv.org/pdf/0804.0162 This estimator can be applied to non-asynchronous data
How to STUDY Mathematics: • Practice, Practice & More Practice. • Review Errors. • Master the Key Concepts. • Understand your Doubts. • Create a Distraction Free Study Environment. • Create a Mathematical Dictionary. • Apply Math to Real World Problems.
Very true: building a wide professional network of peers is the real alpha one can make in the long-term and consistently. Network, network, network...
Very true: building a wide professional network of peers is the real alpha one can make in the long-term and consistently. Network, network, network...
Scientists who play by someone else's rules don't have much chance of making discoveries - Jack Horner
Very interesting survey article on #quant factor investing from @FT (free access) featuring AQR' @CliffordAsness and @choffstein with a few references to nice research papers I was not aware. Highly recommended! ft.com/content/e0f982…
If you're trying to get into systematic trading check out @HangukQuant's content - step by step walkthrough creating a system and upgrading it.
Stat Arb @quant_arb
41K Followers 1K Following Crypto HFT/MFT QR | DMs open 📥 (plz no essays) | @QuantitativeArb | Views my own. Not financial advice.
Corey Hoffstein 🏴�.. @choffstein
66K Followers 1K Following CEO & CIO (Newfound Research) | 🥞 Return Stacking | 🌊 Liquidity Cascades | 📆 Rebalance Timing Luck | ⚡️ Risk cannot be destroyed, only transformed.
Benn Eifert 🥷🏴�.. @bennpeifert
80K Followers 1K Following CIO @ QVR. Derivatives and volatility. Tweets may relate to undisclosed investment holdings. No investment advice. Anti-fascist.
PyQuant News 🐍 @pyquantnews
115K Followers 394 Following Where finance practitioners get started with Python for quant finance, algorithmic trading, and data analysis | Tweets & threads with free Python code & tools.
Lily @nope_its_lily
76K Followers 2K Following CIO and founder. Tweets are not financial advice and autodelete. Tweets do not reflect my employer's views. Lily's Forever Portfolio: https://t.co/f0mNuyrjaJ
Kris @KrisAbdelmessih
31K Followers 3K Following Stay groovy 🤙DMs open σ https://t.co/p0ss9OuitP 💡Twitter list curator 🎲Boardgames 👽Vol trading 🎸Guitars
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Michael Harris 📈 @mikeharrisNY
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Ralph Sueppel @macro_synergy
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Rob Carver @investingidiocy
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elPythonQuantador @ThePythonQuant
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Kris Sidial🇺🇸 @Ksidiii
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Agustin Lebron @AgustinLebron3
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HangukQuant @HangukQuant
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Jerry Parker @rjparkerjr09
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the ghost of groditi�.. @GRoditiD
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Ankit Garg @Ankit_Quant
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Paul_D @WallysPop
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Alexander @Kummerer94
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Imran Lakha | Options.. @rafael_batera94
31 Followers 2K Following Imran Lakha | 20-Year Professional Options Trader | Macro | Volatility | Crypto | Learn to Trade Options Like a Pro | Free Options Webinar
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The Idea Farm @TheIdeaFarm
5K Followers 2K Following Investment research service led by @MebFaber 📩 Newsletter: https://t.co/YGoVjjHIMj 🎙️ Podcast: https://t.co/qD32TsE3uV 📺 YouTube: https://t.co/VrojlwvREM…
MumbaiTrader21 @MumbaiTrader21
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FP Steiner @fpsteiner
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volfefe @volfefe_
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te @nordt_farmer
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HFTLeb @quantleb
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Victor Chinene @chinene_victor
189 Followers 598 Following NASDAQ Speculator. 5.4yrs Trading XP. Online HedgeFund___Premium Trading Signals Provider___Financial Market Consultancy___Asset mgt__Forex Brokerage.
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Nguyen Duy Huy @nguoihaihoacuc
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anoz basnet @anoz_basnet
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systematic longshort @systematicls
12 Followers 38 Following Systematic LS PM. Been around a few podshops. Not investment advice.
Maxim Edelman @maximedelman
166 Followers 337 Following
Matteo Valle @mttvalle
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Serpico @momentumcap1
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Market and life @marketchhatra
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Stat Arb @quant_arb
41K Followers 1K Following Crypto HFT/MFT QR | DMs open 📥 (plz no essays) | @QuantitativeArb | Views my own. Not financial advice.
Corey Hoffstein 🏴�.. @choffstein
66K Followers 1K Following CEO & CIO (Newfound Research) | 🥞 Return Stacking | 🌊 Liquidity Cascades | 📆 Rebalance Timing Luck | ⚡️ Risk cannot be destroyed, only transformed.
Benn Eifert 🥷🏴�.. @bennpeifert
80K Followers 1K Following CIO @ QVR. Derivatives and volatility. Tweets may relate to undisclosed investment holdings. No investment advice. Anti-fascist.
cephalopod @macrocephalopod
45K Followers 572 Following At Octopus Capital our passion is providing best-in-class liquidity in the marketplace of ideas
PyQuant News 🐍 @pyquantnews
115K Followers 394 Following Where finance practitioners get started with Python for quant finance, algorithmic trading, and data analysis | Tweets & threads with free Python code & tools.
Lily @nope_its_lily
76K Followers 2K Following CIO and founder. Tweets are not financial advice and autodelete. Tweets do not reflect my employer's views. Lily's Forever Portfolio: https://t.co/f0mNuyrjaJ
Clifford Asness @CliffordAsness
129K Followers 1K Following https://t.co/SqAanFKORB. https://t.co/NbcMFHWbR4. Chaotic good.
Kris @KrisAbdelmessih
31K Followers 3K Following Stay groovy 🤙DMs open σ https://t.co/p0ss9OuitP 💡Twitter list curator 🎲Boardgames 👽Vol trading 🎸Guitars
Euan Sinclair @SinclairEuan
27K Followers 446 Following vol trader, opinions are my own and may or may not be reflective of positions i hold. nothing should be taken as financial advice.
Michael Harris 📈 @mikeharrisNY
30K Followers 771 Following Quant trading and investing Premium: https://t.co/0w6F0AovhM Free book: https://t.co/DjoqoCQm6u Subst@ck: https://t.co/LRjcyV5kOx No advice.
Ralph Sueppel @macro_synergy
14K Followers 420 Following Managing Director of Macrosynergy Ltd. Development of systematic macro trading strategies.
Rob Carver @investingidiocy
18K Followers 373 Following Overfit for the LOLs: Systematic trader, author^4, blogger, lecturer@QMUL, [email protected], ex-HF & IB, leftie, quant, pythonista, Dad^3, sailor & MAMIL
elPythonQuantador @ThePythonQuant
11K Followers 980 Following Quant Trader. Unapologetically miserable. Views are my own.
ltrd @ltrd_
13K Followers 197 Following In the constant process of mastering doing simple things right. HFT, Low-Latency, Algorithmic Trading.
Kris Sidial🇺🇸 @Ksidiii
61K Followers 571 Following Co-CIO of Ambrus| (Focus: Exotic Derivatives/Volatility/ Tail risk hedging )| @penn guy (Not investment advice)
Carl Carrie (@🏠) @carlcarrie
15K 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
134K Followers 331 Following DampedSpring active 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
139K Followers 689 Following CIO at @UnlimitedFnds | PM of $HFND | Fmr IC @Bridgewater | Described as one of the few "sane" voices on #fintwit | Comments are not investment advice
Aussie Turtles @AussieTurtlesAU
354 Followers 46 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.
The Chartist @thechartist
44K Followers 453 Following DIY or Managed Systematic Portfolios. View our resources: https://t.co/YLVyeBmHZj Risk Statement: https://t.co/cJSJ7gYSeV
Pekka Kallioniemi @P_Kallioniemi
147K Followers 2K Following Creator of #vatniksoup and The Soup Central. Inquiries to [email protected]
PortfolioOptimizer.io @portfoliooptim
633 Followers 89 Following Democratizing access to the Nobel Prize-winning science of portfolio optimization. Free Web #API available at https://t.co/Sc4wrvf02k.
Jeremy Schwartz @JeremyDSchwartz
19K Followers 2K Following Global Chief Investment Officer @WisdomTreeFunds. Host of Behind the Markets @SXMBusiness Powered by @Wharton @SiriusXM 132 https://t.co/vIyXAnNYli
sozialismus.ch @sozialismus_ch
3K Followers 2K Following Bewegung für den Sozialismus BFS/MPS. Sozialismus neu denken - Kapitalismus überwinden!
Ukraine 🇺🇦Demo .. @UA_Demos_DACH
3K Followers 3K Following 🇪🇺ukraine related meetings/rallys in germany, austria & switzerland. pls write me if i missed sth out! #NAFO 💓 #kundgebung #demo #WeAreNAFO
Nurlan @nurlanavazli
934 Followers 551 Following Trader & Physics grad. Heavy emphasis on systematic trading and macro. My tweets are purely for self-learning. See Highlights 👇
Nikki Haley @NikkiHaley
1.1M Followers 930 Following Former UN Ambassador and South Carolina Governor, Clemson Tiger. Running for POTUS. Fighting for a strong and proud America. 👊🏽🇺🇸
Nishant Kumar @nishantkumar07
8K Followers 506 Following Writes on #hedge funds @Bloomberg. Ex-Reuters. Opinions r my own. Retweets & likes r not endorsements. Have a news tip? DMs open
Andrew Chen @achenfinance
4K Followers 509 Following Financial economist @federalreserve. Ph.D. @FisherOSU. Into asset pricing, publication bias, meta-science. https://t.co/d4vMeEAZZy. Views are my own.
Risk.Net @RiskDotNet
14K Followers 25 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
1K Followers 1K Following Associate Professor @UoNEconomics. Member @UoN_Theory, @UoNCeDEx, @cepr_org. Graduated @NUEconomics, @unitartu. Interested in theory, IO, ... 🇪🇪🇺🇸🇮🇹🇬🇧
Tatarigami_UA @Tatarigami_UA
170K Followers 102 Following Former UA officer Founder of the Frontelligence Insight: https://t.co/dl7rxu5P0O To support my work: https://t.co/A9oLjGWIYc
Alan Dunne @alanjdunne
931 Followers 661 Following Founder and CEO of Archive Capital and Co-Host of Top Traders Unplugged podcast.
The Spread Thread @SpreadThread1
18K Followers 332 Following Former head of credit strategy | Investor/Trader | Add your email at https://t.co/XTLs3jKi6C to receive our research to your inbox for no charge
Simplify @SimplifyAsstMgt
6K Followers 827 Following Democratizing Access To Institutional Caliber Investment Strategies Important disclosure: https://t.co/oMF4XWa2pE. Prospectus: https://t.co/jbH3SLKpbE
Jessica Berlin @berlin_bridge
123K Followers 888 Following Security & foreign policy | Ex-🇦🇫🇨🇳🇲🇲🇷🇼🇬🇧🇺🇸 | Sr Fellow @cepa | Capital 🇩🇪 40u40 | ☕️ https://t.co/bJJwJ9yq8b | Don’t just get mad, get busy
Stable.Fish - Best St.. @stable_fish
10K Followers 105 Following Find the best stablecoin farming pools✨ -The largest number of $1M+ stablecoin pools -Actual investment performance -APY over the same period
BlackSwan @BlackSwan_ptf
10K Followers 342 Following Jr equity options trader. Boring is good. Tweets reflect only my ideas and are not linked to any firm
dealer.eth @dealerdefi
64K Followers 441 Following Fulltime speculate dealer and crypto analyst | DeFi insider | founder of TheDealerAlpha | Follow for alpha threads
Backed @BackedFi
11K Followers 182 Following Fully backed, tokenized real-world assets. FAQs: https://t.co/Dh1AruaHSE
arndxt @arndxt_xo
30K Followers 938 Following Slumbered into the depths of 🥩 | 🍄 | 🧠 | @plumenetwork Digging into alpha at Threading on the Edge 👉Find TG alpha: https://t.co/LZey0AcSFc
RedStone Oracles ♦�.. @redstone_defi
122K Followers 152 Following Modular Oracles for DeFi 🔮 Trusted by @MorphoLabs @ether_fi @VenusProtocol @Sommfinance @pendle_fi Leader in LST & LRT💧 👉 https://t.co/kOENakvsCL
Brett Caughran @FundamentEdge
37K Followers 3K Following Completed my hedge fund tour of duty (Maverick, D.E. Shaw, Citadel, Schonfeld). Adjunct at ASU. Now building an exceptional analyst training firm. DMs open!
PeckShieldAlert @PeckShieldAlert
88K Followers 1 Following Free Chrome Extension: https://t.co/yvXOjS8ZRI Telegram: https://t.co/qX5sVtdkFD
bebis @0xBebis_
16K Followers 1K Following accelerating defi with Conclave & doing cool stuff with https://t.co/9zYfyY8TCT
Instadapp @Instadapp
48K Followers 0 Following Building a full suite of products: Lite, @0xFluid, @Avowallet to bring DeFi to the masses. https://t.co/iA8kG0w5Wa
Ilan Solot @isolot
634 Followers 733 Following Co-Head of Digital Assets - Marex Solutions Personal views only here.
Andrew Kang @Rewkang
243K Followers 3K Following Shephard @mechanismcap @PleasrDAO Not investment advice
Piotr Pomorski @PtrPomorski
8K Followers 171 Following Senior Machine Learning Engineer | AI & Quant | PhD/CFA/CEO of Kalman Filter | Not an investment advice, views are my own | DM open 📧
QuantSeeker @quantseeker
9K Followers 677 Following Sharing research on quant investing/trading. I send out a weekly recap of selected research. PhD. Ex systematic hedge fund and academic. Not investment advice.
The Serenity Research @SerenityFund
6K Followers 482 Following Stablecoin Research. Alpha & Strategy. Weekly Alpha: https://t.co/dH19iPO3ib
MEV Capital @MEVCapital
710 Followers 80 Following A digital assets investment firm focused exclusively on Decentralized Finance.
The Wizard Of Ops @WizOfOps
9K Followers 200 Following Dealer positioning insight https://t.co/7EQK4aovAt • White paper now available • Options, vol, market analysis • Morning briefings • Disclaimer: https://t.co/TfWPx8wnhb
Wifey @WifeyAlpha
180K Followers 4K Following Systematic Investment Research // Wifey Alpha Multi Strategy Index // Free Mobile App & Dashboard // Bloomberg Ticker: $WIFEY // Trading Strategies
Liquity @LiquityProtocol
53K Followers 185 Following Interest-free borrowing on #ETH. Home to #LUSD - the unstoppable stablecoin. Creator of @ChickenBonds. Discord: https://t.co/d55hjuh5WZ
Ondo Finance @OndoFinance
182K Followers 17 Following Institutional-Grade Finance. Onchain. For Everyone. Backed by @foundersfund, @PanteraCapital, @coinbase.
PeckShield Inc. @peckshield
82K Followers 433 Following A blockchain security and data analytics company (telegram: https://t.co/x72dANZur3)
Aevo @aevoxyz
121K Followers 73 Following Aevo is the first Derivatives L2, focused on options & perps trading | Backed by @paradigm @dragonfly_xyz @coinbase | Built on Ethereum 🖤
Vertox @Vertox_DF
11K Followers 144 Following Quant is love, Quant is life. In-depth research articles on vertoxquant(.)com
Conor Ryder @ConorRyder
46K Followers 698 Following Head of Research @ethena_labs | Prev. Research @KaikoData | CFA
Boost @goboostit
1K Followers 828 Following Mint NFTs. Increase Transactions. Boost airdrops. Farm safely with our unique contracts on @base, @lineabuild and @ourzora. 🧑🌾
TheBit Research @TheBitResearch
1K Followers 501 Following Unlocking crypto's potential through rigorous fundamental research and targeted advisory services. Make informed choices. #DeFi
parsec @parsec_finance
32K Followers 10 Following Block Explorer & Pro Terminal for onchain Markets In-depth and customizable analytics for degens/institutions alike 🔭 https://t.co/2yZgjgrHpm
CZ 🔶 BNB @cz_binance
9.0M Followers 2K Following @binance co-founder and former CEO, holder of #bnb #btc
William Knottenbelt @will_wjk
1K Followers 2K Following Professor of Applied Quantitative Analysis and Director of the Imperial College Centre for Cryptocurrency Research and Engineering.Fun thing you can do is see my trade history or positions or whatever in github. Go to github.com/robcarver17/re… Then select a date. Click on <> to browse the commit. Click on trade report or risk report to see positions.
Many investors think 'Carry' is a four-letter word.🤬 They couldn't be more wrong.🫠 Diversified carry is the OG risk premium strategy. 💪 NEW PAPER: Managed Futures Carry: A Practitioner's Guide Links below: 👇
@ThePythonQuant Markdown to HTML / Jinja Templates + Plotly Charts (export to png via kaleido) => use Weasyprint to generate a PDF from this. You will have to setup a style sheet that makes it all look good but there are great examples in the docs. weasyprint.org
Why is it impossible to make good-looking reports in Python. Seriously wtf
I couldn’t find a breakdown of the SG CTA index by investment style, so decided to do some leg work with @sbraun27. This isn’t necessarily representative of risk or capital allocation to each style, but I thought it was interesting nonetheless.
In a conversation hosted by CAIA, @andrewdbeer1, @BobEUnlimited, and I will be chatting liquid alternatives and hedge fund replication. May 20th @ 2pm ET caia.zoom.us/webinar/regist…
sharpetwo.com/p/finding-trad… this stuff is worth a look: empirical and actionable (there is nothing worthwhile that isn't both of these things).
38% Private Equity ≈ 60% Equity This is like 80% equity, 10% fixed income, 10% real assets, and 20% absolute return.
Stanford $35b endowment investment allocation
50 Charts showing the Current State of Volatility @rcmAlts interview with Jeremie Holdom and Colin Suvak of LongTail Alpha (April 25, 2024) youtube.com/watch?v=CCMkn0…
In any marathon, the true challenge lies not merely in excelling, but in enduring. Success is defined by the ability to remain in contention, prioritizing perseverance over mere performance. #Survival, #Robustness, #Compounding atstradingsolutions.com/why-it-is-so-h…
New blog post on the Cluster Risk Parity (CRP) portfolio, which is an equal risk contributions (ERC) portfolio "tweaked" to equalize risk contributions per asset classes (or more generally, per "group" of assets) -> portfoliooptimizer.io/blog/cluster-r…
Let the Alpha Leak begin! ArbitrageLab has been open-sourced! ArbitrageLab Python library: github.com/hudson-and-tha… Documentation: …s-arbitragelab.readthedocs-hosted.com/en/latest/ Notebooks: github.com/hudson-and-tha… PyPi: pypi.org/project/arbitr…
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