[MM]17. Ernest Chan

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Manage episode 272116943 series 2634646
By Taylor Pearson. Discovered by Player FM and our community — copyright is owned by the publisher, not Player FM, and audio is streamed directly from their servers. Hit the Subscribe button to track updates in Player FM, or paste the feed URL into other podcast apps.

In this episode, we talk with Ernie Chan. Ernie, a physicist by training, is the founder of QTS Capital Management and author of a number of books on Quantitative and Algorithmic Trading. In today’s episode, we talk about Ernie’s tail reaper strategy at QTS which seeks to profit from down moves in the S&P. We go into how Gamma Dealer Hedging and Forced Rebalancing exacerbates intraday volatility in the SPX in a way that makes the S&P one of the best places for a tail strategy to work. We also go into the Evolution of Machine Learning and how it is applied to trading strategies including tail reaper and the appropriate way to use kelly criterion for investors - a lesson Ernie learned the hard way.

46 episodes