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Flirting with Models

Aug 29, 2022

In this episode I speak with Kevin Cole, CEO and CIO of Campbell & Company.  

In the first half of the conversation, we discuss Campbell’s flagship systematic multi-strategy program.  We cover topics including trend-following versus multi-strategy, the taxonomy of alpha signals, the concept of edge when you’re...

Aug 8, 2022

Today I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors.

We begin with a discussion of Hari’s newest book, Market Tremors, and the main theoretical idea: Mean Field Theory.  Hari lays out both the philosophical underpinnings of...

Aug 1, 2022

In this episode I speak with Harel Jacobson, an FX volatility trader.

There is a lot that makes the FX volatility market unique.  For starters, the end users are more focused on hedging cash-flow and liquidity than wealth.  Since the underlying is currency pairs, volatility surface arbitrage conditions...