Investments
Non-linear momentum strategies
Non-linear momentum strategies
Fat tails via utility-based entropy
Fat tails via utility-based entropy
Momentum trading: ’skews me
Momentum trading: ’skews me
Non-linear mixture of asset return models
Non-linear mixture of asset return models
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Optimal design of volatility-driven algo-alpha trading strategies
Optimal design of volatility-driven algo-alpha trading strategies
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs