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

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: