Flirting with Models cover image

Nicolas Mirjolet - Multivariate Trend Following (S7E8)

Flirting with Models

CHAPTER

Introduction

An in-depth interview with Nicola Mirjaleg, the CEO and Co-Head of Research at Quantica Capital, discussing their experience with statistical arbitrage funds, unique perspectives on asset management, and insights into their flagship managed futures program. The conversation covers multivariate trend-following approaches, the impact of variables on the signal universe, and the trade-off between convexity and robustness in trend management.

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