Alex Lipton

Hebrew University of Jerusalem

Mount Scopus

Jerusalem, Jerusalem 91905

Israel

Massachusetts Institute of Technology (MIT)

77 Massachusetts Avenue

50 Memorial Drive

Cambridge, MA 02139-4307

United States

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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SSRN RANKINGS

Top 20,121

in Total Papers Citations

7

CROSSREF CITATIONS

40

Scholarly Papers (9)

1.

Three Quant Lessons from COVID-19 (Presentation Slides)

Number of pages: 19 Posted: 31 Mar 2020 Last Revised: 08 May 2020
Marcos Lopez de Prado and Alex Lipton
Cornell University - Operations Research & Industrial Engineering and Hebrew University of Jerusalem
Downloads 10,384 (487)

Abstract:

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COVID-19, nowcasting, machine learning, Monte Carlo, backtesting, backtest overfitting

2.

A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies

Number of pages: 32 Posted: 09 Mar 2020 Last Revised: 24 Mar 2020
Alex Lipton and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 5,988 (1,286)

Abstract:

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optimal trading strategy, Heat potentials, Ornstein-Uhlenbeck process, mean-reversion

3.

Exit Strategies for COVID-19: An Application of the K-SEIR Model (Presentation Slides)

Number of pages: 52 Posted: 22 Apr 2020
Alex Lipton and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 2,745 (4,911)
Citation 1

Abstract:

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COVID-19, pandemic, SEIR, case fatality rate, reproductive numbers, lockdowns

4.

Three Quant Lessons from COVID-19

Risk Magazine, April 2020.
Number of pages: 6 Posted: 21 Apr 2020 Last Revised: 01 May 2020
Alex Lipton and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 562 (53,940)
Citation 1

Abstract:

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COVID-19, pandemic, SEIR, case fatality rate, reproductive numbers, lockdowns

5.

Credit Value Adjustment for Credit Default Swaps via the Structural Default Model

The Journal of Credit Risk, Vol. 5, No. 2, pp. 127-150, 2009
Number of pages: 17 Posted: 22 Sep 2012 Last Revised: 03 Jun 2013
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and Quantica Capital AG
Downloads 493 (63,710)
Citation 4

Abstract:

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counterparty risk, jump-to-default

6.

Filling the Gaps

Risk Magazine, October 2011, 66-71
Number of pages: 22 Posted: 23 Sep 2012
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and Quantica Capital AG
Downloads 466 (68,259)

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local volatility, diffusion with tiled volatility

7.

Simulation in the Real World

Number of pages: 17 Posted: 31 Aug 2016
Independent, Bank of America and Hebrew University of Jerusalem
Downloads 350 (95,553)

Abstract:

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Asset Pricing, Risk Management, Risk-Neutral Pricing, Term Structure of Interest Rates, Esscher Transform

8.

Mitigation Strategies for COVID-19: Lessons from the K-SEIR Model

Number of pages: 45 Posted: 16 Jun 2020
Alex Lipton and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 325 (103,832)
Citation 1

Abstract:

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COVID-19, pandemic, SEIR, K-SEIR, epidemiology, case fatality rate, reproductive numbers, lockdowns

9.

Stochastic Volatility Models and Kelvin Waves

Journal of Physics A: Mathematical and Theoretical, Vol. 41, 2008
Number of pages: 27 Posted: 22 Sep 2012
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and Quantica Capital AG
Downloads 227 (150,514)
Citation 1

Abstract:

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Stochastic volatility, Stein-Stein model, Heston model