Trend-Following Strategies for Tail-Risk Hedging and Alpha Generation by Artur Sepp

Presented at FXCM Algo Summit, 15 June 2018 in London

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About the Presenter

Artur works as a Quantitative Strategist at the Swiss wealth management company Julius Baer in Zurich. His focus is on quantitative models for systematic trading strategies, risk-based asset allocation, and volatility trading. Prior to that, he worked as a front office quant in equity and credit at Bank of America, Merrill Lynch and Bear Stearns in New York and London with emphasis on volatility modelling and multi-asset derivatives valuation, trading and risk-managing. His research area and expertise are on econometric data analysis, machine learning, and computational methods with their applications for quantitative trading strategies, asset allocation and wealth management.

He has a PhD in Statistics focused on stopping time problems of jump-diffusion processes, an MSc in Industrial Engineering from Northwestern University in Chicago, and a BA in Mathematical Economics. He has published several research articles on quantitative finance in leading journals and is known for his contributions to stochastic volatility and credit risk modelling. He is a member of the editorial board of the Journal of Computational Finance and keeps a regular blog on quant finance and trading at

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