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

  • Hebrew University of Jerusalem

  • Massachusetts Institute of Technology (MIT)

SCHOLARLY PAPERS

20

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25

CROSSREF CITATIONS

43

Scholarly Papers (20)

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1.

Three Quant Lessons from COVID-19 (Presentation Slides)

Number of pages: 19 Posted: 31 Mar 2020 Last Revised: 22 Aug 2021
Marcos Lopez de Prado, Marcos Lopez de Prado and Alex Lipton
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Hebrew University of Jerusalem
Downloads 13,399 (656)

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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, Marcos Lopez de Prado and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 11,649 (844)

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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, Marcos Lopez de Prado and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,219 (7,446)
Citation 3

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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, Marcos Lopez de Prado and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,621 (21,975)
Citation 1

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

5.

SPX, VIX and Scale-Invariant LSV

Number of pages: 17 Posted: 15 Feb 2023 Last Revised: 12 Apr 2023
Alex Lipton and Adil Reghai
Hebrew University of Jerusalem and ADIA
Downloads 1,431 (26,528)

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VIX, LSV, Scale, Invariance, Barriers, Volatility swaps, Scenario generation

6.

The Case for Causal Factor Investing

Number of pages: 16 Posted: 15 Apr 2024
Marcos Lopez de Prado, Marcos Lopez de Prado, Alex Lipton and Vincent Zoonekynd
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, Hebrew University of Jerusalem and Abu Dhabi Investment Authority
Downloads 1,184 (34,944)

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Causal inference, causal discovery, confounder, collider, factor investing, p-hacking, underperformance, systematic losses

7.

Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results

Number of pages: 76 Posted: 09 Sep 2023
Alex Lipton
Hebrew University of Jerusalem
Downloads 990 (45,194)

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affine processes, Kelvin waves, Klein-Kramer equation, Kolmogorov equation, stochastic volatility, path-dependent options

8.

Automated Market-Making for Fiat Currencies

Number of pages: 16 Posted: 11 Oct 2021
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and LGT Bank (Schweiz) AG
Downloads 861 (54,803)
Citation 7

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Cryptocurrencies, Automated Market Making, Decentralized Finance, Blockchain, Decentralized Exchanges, Central Bank Digital Currencies

9.

Overcoming Markowitz's Instability with the Help of the Hierarchical Risk Parity (HRP): Theoretical Evidence

Number of pages: 26 Posted: 22 Mar 2024
Alexandre Antonov, Alex Lipton, Marcos Lopez de Prado and Marcos Lopez de Prado
Abu Dhabi Investment Authority, Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 860 (54,889)

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Trading strategy, portfolio allocation, Markowitz optimisation, Hierarchical Risk Parity, Clustered Optimisation, optimisation weights noise

10.

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 LGT Bank (Schweiz) AG
Downloads 804 (60,130)
Citation 7

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counterparty risk, jump-to-default

11.

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 LGT Bank (Schweiz) AG
Downloads 690 (73,463)
Citation 1

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local volatility, diffusion with tiled volatility

12.

A Geometric Approach to Asset Allocation with Investor Views

Number of pages: 37 Posted: 29 May 2024
Alexandre Antonov, Koushik Balasubramanian, Alex Lipton, Marcos Lopez de Prado and Marcos Lopez de Prado
Abu Dhabi Investment Authority, Abu Dhabi Investment Authority, Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 680 (74,828)

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Black-Litterman, Portfolio Allocation, Generalized Wasserstein Barycenter, Optimal Transport

13.

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

Number of pages: 53 Posted: 16 Jun 2020 Last Revised: 17 May 2022
Alex Lipton, Marcos Lopez de Prado and Marcos Lopez de Prado
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 603 (86,987)
Citation 3

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

14.

Toward an Efficient Hybrid Method for Pricing Barrier Options on Assets With Stochastic Volatility

Number of pages: 33 Posted: 05 Apr 2022
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and LGT Bank (Schweiz) AG
Downloads 598 (87,950)

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barrier options, stochastic volatility, Heston model, heat potentials, semi-analytical solution, Volterra equation, Willards' formula

15.

Simulation in the Real World

Number of pages: 17 Posted: 31 Aug 2016
Russell Barker, Andrew Samuel Dickinson and Alex Lipton
Independent, Bank of America and Hebrew University of Jerusalem
Downloads 597 (88,159)

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

16.

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 LGT Bank (Schweiz) AG
Downloads 436 (129,324)
Citation 4

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Stochastic volatility, Stein-Stein model, Heston model

17.

Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results

Number of pages: 92 Posted: 28 Jun 2012
Leif B. G. Andersen and Alex Lipton
Bank of America and Hebrew University of Jerusalem
Downloads 396 (144,470)
Citation 9

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option pricing, Levy processes, local volatility processes, small-time asymptotics, large-time asymptotics, wing asymptotics

18.

Unified Approach for Hedging Impermanent Loss of Liquidity Provision

Number of pages: 35 Posted: 02 Aug 2024
Alex Lipton, Vladimir Lucic and Artur Sepp
Hebrew University of Jerusalem, Imperial College London and LGT Bank (Schweiz) AG
Downloads 376 (153,090)

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Automated Market Making, Liquidity Provision, Decentralized Finance, Uniswap, Cryptocurrencies, Impermanent Loss JEL Classifications: C02

19.

(Preface) Credit Correlation: Life after Copulas

CREDIT CORRELATION: LIFE AFTER COPULAS, Alexander Lipton, Andrew Ronnie, eds., World Scientific Publishing Co., 2007, International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007
Number of pages: 1 Posted: 07 Oct 2009
Alex Lipton and Andrew Rennie
Hebrew University of Jerusalem and Merrill Lynch & Co. - Merrill Lynch, UK
Downloads 235 (249,392)

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credit derivatives, Gaussian copulas, tranches, credit baskets, base correlations

20.

Toward a Public-Key Management Framework for Virtual Assets and Virtual Asset Service Providers

Electronic version of an article published as [The Journal of FinTech, Volume 1, Number 1, 2021, 27 pages] [https://doi.org/10.1142/S2705109920500017] © [copyright World Scientific Publishing Company]
Posted: 08 Jul 2021
Thomas Hardjono, Alex Lipton and Alex Pentland
Massachusetts Institute of Technology (MIT), Hebrew University of Jerusalem and Massachusetts Institute of Technology (MIT)

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Virtual asset, virtual asset service provider, blockchain, public-keycerticates, key management