Articles by Alexander Lipton
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Quantum two-sample test for investment strategies
Quantum algorithms display high discriminatory power in the classification of probability distributions
Automated market-making for fiat currencies
A framework to exchange fiat currencies on-chain consistently with off-chain prices is presented
A closed-form solution for optimal mean-reverting strategies
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
Don’t fear the clearer
Wider use of CCPs not systemic threat – but participants do face hard-to-measure risks
Can quants defuse the pension time bomb?
Alex Lipton argues new quantitative methods are needed to solve the looming pension crisis
The decline of the cash empire
Alex Lipton: the last line of defence between us and punitive negative rates is paper currency
Blockchain: a solution looking for a problem
While new financial technologies show considerable promise, many proposed applications are either naive or miss the mark outright
Macroeconomic theories: not even wrong
Flawed and inconsistent mainstream macroeconomic theories such as efficient market hypothesis are dangerous to society, says Alexander Lipton
Banks must embrace their digital destiny
Alexander Lipton believes the time is right for advanced digital banks to take the industry forward, and quants can lead the charge
On derivatives and quants
Alexander Lipton on how the role of quants is adapting to the new financial environment
Filling the gaps
Filling the gaps
Filling the gaps
Filling the gaps