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Ep. 313: Jean-Philippe Bouchaud Interview with Michael Covel on Trend Following Radio

Jean-Philippe Bouchaud
Jean-Philippe Bouchaud

My guest today is Jean-Philippe Bouchaud, a French physicist. He is co-founder and Chairman of Capital Fund Management, adjunct professor at École Normale Supérieure and co-director of the CFM-Imperial Institute of Quantitative Finance at Imperial College London.

The topic is Trend Following.

In this episode of Trend Following Radio we discuss:

  • His firm’s performance for 2014
  • Whether trend following actually “died” prior to it’s “reappearance” in 2014
  • What trend following manages to exploit
  • Exploiting vs. exploring
  • Looking at volatility as a precursor to profit
  • Volatility as a measure of risk
  • Trend following as a genuine market anomaly
  • The behavioral biases in play as oil has fallen fifty percent plus
  • The feedback Bouchaud has received from peers on his newest paper
  • Whether other strategies exploit a genuine market anomaly
  • Bouchaud’s philosophy on transparency and “secrets” in his work
  • Why Bouchaud’s work culture is not a culture of MBA’s

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Jean-Philippe Bouchaud: Tail Risk Premia vs. Pure Alpha

Jean-Philippe Bouchaud, Chairman of Capital Fund Management, passed along a new paper Tail Risk Premia vs. Pure Alpha.


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Trend Following is for beginners, students and pros in all countries. This is not day trading 5-minute bars, prediction or analyzing fundamentals–it’s Trend Following.

Ep. 242: Jean-Philippe Bouchaud Interview with Michael Covel on Trend Following Radio

Jean-Philippe Bouchaud
Jean-Philippe Bouchaud

My guest today is Jean-Philippe Bouchaud, the Chairman of the multi-strategy quantitative hedge fund Capital Fund Management (5B+ AUM) and co-supervisor of the research team. He is a well known authority in the field of Econophysics, co-author of “Theory of Financial Risks and Derivative Pricing”, a Professor of École Polytechnique where he teaches Complex Systems and has his Ph.D in theoretical physics from École Normale Supérieure.

The topic is Trend Following.

In this episode of Trend Following Radio we discuss:

  • Bouchaud’s physics background and how it collided with the world of classical economics
  • The Black-Scholes model, and its still use; experimenting with simulation
  • Bouchaud and his colleague’s paper, “Two Centuries of Trend Following“
  • The efficient market hypothesis
  • Why the existence of trends is one of the most statistically significant anomalies in financial markets
  • How trends predate trend following
  • Why classical economics has no framework through which to understand “wild markets”
  • Benign randomness vs. wild randomness
  • Accepting uncertainty
  • Differences between physicists and economists

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