In this episode, we discuss:
- The extent to which news drives price action
- How to look at ever-changing market dynamics, such as correlations
- Jean-Philippe Bouchaud’s journey into finance
- The reliability of the Bloomberg terminal
- Dimensional analysis
- The inelastic market hypothesis
- Standing out in the Systematic Investor space
- Volatility strategies and if they have any connection to high-frequency data
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Episode TimeStamps:
00:00 - Intro
02:38 - What area of physics did you work in, and how did you come into finance?
05:04 - Can you elaborate the paper you worked on, where you where you investigated the endogeneity of large price moves?
15:24 - How timely do you consider the Bloomberg feed to be? Is it quick enough?
19:18 - How do we stitch together the two ideas of micro market data
28:20 - Do you the believe in the research that is carried out using dimensional analysis?
32:58 - Do you think that the inelastic market hypothesis was driven by flows into passive vehicles?
37:13 - Regarding the biggest stocks in the S&P 500, is it true that if one stock is 10 times bigger than another stock, and it gets 10 times the dollar allocation, that the price impacts will be the same?
40:13 - Can you tell us about your journey so far with CFM?
50:21 - Do you still do Trend Following, and if so, how do you do it different from a standard Trend Follower?
52:08 - If you kill the beta in a Trend Following program, do you lose the convexity?
52:38 - What’s the relation between volatility and higher-frequency momentum systems, in your view?
