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Insights into the World of Quants | Marko Momentum

From November 4 to 6, The Quant Conference took place in online format for the first time. This article summarises the topics and discussions of the three conference days.

Day 1

The event was kicked off by the founder of the Quant Conference, Nikita Fadeev, and the moderator Stuart MacDonald (Bride Valley Partners). The first keynote speaker was Peter Carr (NYU). In a very technical presentation he introduced his concept for a semi-static hedging strategy.

Robert Frey (FQS Capital) then spoke about challenges in dealing with fat tails. He explained which fundamentally different concepts describe arithmetic (i.e. additive) and geometric (multiplicative) processes. The point is to abandon naive empiricism and model actual processes instead of placing models above practical experience or blindly trusting them.

Coin Toss Experiment

Despite a clear statistical advantage, almost 30 percent of the participants lost (almost) all their stakes.

Source: Victor Haghani, The Quant Conference

The next presentation was given by Victor Haghani (Elm Partners), who presented a version of the coin toss experiment with amazing results: Despite a favourable 60-40 distribution of heads and tails, almost 30 percent of the participants lost (almost) all their stakes. According to Haghani, the reasons for this are erratic betting behaviour, too high or too low bets and the irrational tendency to bet on tails after a series of heads due to a „feeling“ despite the lower probability. He then went on to discuss position sizing via the Kelly criterion. In his opinion, too few inves