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For over 10 years, Desmond's academic work has focused on unraveling the complex interactions that underlie living cells using machine learning and other computational methods. We see that machine learning is beginning to have a significant impact on asset management, but firms with deep expertise and a robust, sophisticated, tested strategy are very rare.
Our name Taaffeite one of the world's rarest gemstones was chosen to connote this sense of rarity, and we will utilize our unique expertise and technology for the benefit of our investors. We look forward to working with our investors at the forefront of the technology of asset management. Desmond Lun, a renowned academic with a year career spanning MIT, Harvard, and Rutgers, and a leading global expert in computational biology and artificial intelligence.
This trading strategy, which leverages ideas and techniques from Dr. The TCM Liquid Alpha Program trading strategy holds a diversified strategic basket of long and short positions in 25 liquid global indices.
This basket is systematically rebalanced once a day based on a probabilistic forecast of how those indices will move over the next hours. The system trades index futures, as opposed to other instruments, to capitalize on the liquidity and lower transaction costs of futures.
Furthermore, identifiable price patterns that exist in single markets are already crowded and unlikely to yield significant profit and could incur significant tail risk if they use rules like stop-losses. Instead, the key is to search for and identify price patterns involving a large number of markets simultaneously. Because of the huge number of variables and possible interdependencies that must be considered, humans have little hope of successfully identifying such patterns with any reliability.
Kolmogorov-Smirnov test is used to determine if last 20 days of daily returns are distributed as expected. If otherwise, the Program is paused for analysis. Many strategies have negatively skewed return distributions.
Actively scales in and out of trades. This allows the Program to maintain some exposure if timing is early and market moves against position. Lun at TCM in He is an experienced former management consultant with PricewaterhouseCoopers, Bain International and Accenture. Lun is one of the leading global authorities in mathematical models that predict the behavior of biological systems.
Lun received his Ph. He joined TCM in Prior to Blueshift, Mr. Taaffeite Capital Management "Is a new kind of quant, combining AI wizardry with old-school biology to trade futures. A letter from our Founders. Howard Siow and Dr.
Desmond Lun discusses quantitative investing. Examples of the indices traded: Find predictive relationships in the data. Forecast movement of instruments over next 24 hours. Construct the portfolio with focus on capital preservation. Investment Objective Portfolio is selected for capital preservation. Diversifying into negatively correlated positions. Alpha Decay Kolmogorov-Smirnov test is used to determine if last 20 days of daily returns are distributed as expected.
Positive Skew Many strategies have negatively skewed return distributions. Click on box to be directed to article. Taaffeite Capital hires for new COO role. Wall Street Oasis US. Is a Computational Biology degree is better than a Finance degree?
Using cell biology to understand financial markets. Quantamentals, signal surfing and fast walkers: The Australian Financial Review. Artificial intelligence beats Brexit. Send us an Email.
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