Quant Congress: Models not to blame for stat arb crisis

"As I've maintained for some months now, statistical arbitrage models did not break down in August last year - in fact, they behaved exactly as they were designed to," claimed Jonathan Kinlay, chief executive of London-based quantitative investment hedge fund Proteom Capital Management.

"The market environment was just more extreme then we would have expected. Arguably the specific difficulty that we had was spiking volatility in two dimensions, both cross-sectional and in a very short time span

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