Jonathan Kinlay
Dr Jonathan Kinlay is quantitative researcher and founder of several quantitative hedge funds. He is founder and CEO of Systematic Strategies, LLC, a systematic hedge fund that deploys high frequency trading strategies using news-based algorithms.
Dr Kinlay, was the founder and General Partner of the Caissa Capital hedge fund, whose volatility arbitrage strategies were developed by Dr Kinlay's investment research firm, Investment Analytics. Caissa, which managed $400M in assets, was ranked by FIMAT as the top performing fund in its class in 2004. Dr. Kinlay was the subject of significant legal action by Caissa Capital due to allegations that he was "trying to lure top investors to rival funds after the partnership collapsed in acrimony."[1] Dr Kinlay went on to establish the Proteom Capital, whose statistical arbitrage strategies were based on pattern recognition techniques used in DNA sequencing. Dr Kinlay was formerly Global Head of Model Review at the US investment bank Bear Stearns.
Dr Kinlay holds a PhD in economics and has held positions on the faculty at New York University Stern School of Business,[2] Carnegie Mellon and Reading Universities. Dr Kinlay is a regular conference speaker and writer on investment research, hedge fund investing and quantitative finance.[3] Kinlay was a member of England's chess team that won gold in the World Student Olympiad in Mexico in 1978.[4] He is the son of Fleet Street editor James Kinlay and father of British actress Antonia Kinlay.
[edit] Research and publications
- Interview with Jonathan Kinlay on Systematic Strategies in Active Trader Magazine, Nov 2010 [5]
- "Long Memory and Regime Shifts in Asset Volatility" in The Best of Wilmott 1: Incorporating the Quantitative Finance Review Wiley, 2004, ISBN 978-0-470-02351-8 [6]
- Sicilian, Keres Attack, BT Batsford, 1981, ISBN 0713421398[7]
- Market Timing and Return Prediction, Investment Research Report, Vol 1, Issue 1, 2001
- Modelling Volatility: The State of the ARCH, Investment Research Report, Vol 1, Issue 2,2001
- Estimating the Forward Term Structure, Investment Research Report, Vol 1, Issue 3, 2001
- The Returns to Risk Arbitrage, Investment Research Report, Vol 1, Issue 3, 2001
- Long Memory in Financial Markets, Investment Research Report, Vol 2, Issue 1, 2002
- Detecting Regime Shifts, Investment Research Report, Vol 2, Issue 1, 2002
- "Long Memory and Regime Shifts in Asset Volatility", Wilmott, Jan/Feb 2003[8]
- Estimating Historical Volatility (with Michael Brandt), 2005[9]
- Range-Based EGARCH Option Pricing, (with Stephen Taylor), 2005[10]
- Forecasting Volatility in the S&P500 Index – An Empirical Test of Option Market Efficiency, 2006 [11]
- Volatility Forecasting in Emerging Markets, 2006
- Predicting Market Direction – Sign Dynamics and Volatility Dynamics, QuantNotes, Feb 2006[12]
- Yield Curve Construction Models – Tools & Techniques, with Xu Bai, 2008 [13]
- The Lognormal Mixture Model: Applications in Interest rate, FX and Equity Derivative Pricing & Risk Management, 2008[14]
- Can Machine Learning Techniques Be Used to Predict Market Direction? The 1,000,000 Model Test., 2011[15]
[edit] References
- ^ [1] Caissa founders in court battle
- ^ Kinlay at NYU Faculty site
- ^ See for example Quantitative Research and Trading Blog
- ^ Other team members included international grandmasters Jonathan Mestel and Jon Speelman and international master David S. Goodman
- ^ [2]
- ^ [3]
- ^ http://openlibrary.org/b/OL3048310M/Sicilian%2C-Keres-attack
- ^ Wilmott.com
- ^ http://jonathankinlay.com/?p=20
- ^ http://jonathankinlay.com/?p=206
- ^ http://jonathankinlay.com/?p=98
- ^ http://jonathankinlay.com/?p=24
- ^ http://jonathankinlay.com/?p=82
- ^ http://jonathankinlay.com/index.php/2011/02/the-lognormal-mixture-variance-model/
- ^ http://jonathankinlay.com/?p=242
