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

Michael Covel speaks with Dr. Jean-Philippe Bouchaud. Bouchaud is 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 Econphysics, 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. Covel and Bouchaud discuss Bouchaud’s physics background and how it collided with the world of classical economics; the Black-Scholes model, and it’s 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; and differences between physicists and economists. For more information on Jean-Philippe Bouchaud, visit www.cfm.fr. Complimentary trend following video from Michael Covel: trendfollowing.com/win.

jean philippe bouchaud

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

  1. Excellent! More scientists please.

    Regarding 200 years of trend following. Before 1970, where can one find general agreement in high/low prices of commodities and currencies with any surety that hypothetical backtest trades would have been filled at beneficial prices? For one thing, currencies where pegged to gold for decades before the monetary crisis under Nixon.

    This is interesting:

    From http://www.dunncapital.com/pdfs/0-CTA-Intelligence-Article-DUNN.pdf

    “Dunn’s managed
    futures programme in the DC suburbs dur-
    ing October 1974, trading only 11 markets.”

    In a future podcast, could you explore the question of how one could reliably test the hypothesis of longer term performance in 1974, particularly in currencies?

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