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Jonathan Chan

Kaiju Capital Management

  • Kaiju Capital Management

SCHOLARLY PAPERS

2

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Rank 33,800

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Top 33,800

in Total Papers Downloads

3,797

TOTAL CITATIONS

5

Scholarly Papers (2)

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1.

Detecting Multivariate Market Regimes Via Clustering Algorithms

Number of pages: 39 Posted: 27 Mar 2024
James Mc Greevy, Aitor Muguruza, Zach Issa, Cristopher Salvi, Jonathan Chan and Zan Zuric
Kaiju Capital Management, Imperial College London, King’s College London - Faculty of Natural and Mathematical Sciences, The Alan Turing Institute, Kaiju Capital Management and Kaiju Capital Management
Downloads 3,039 (10,600)
Citation 5

Abstract:

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k-means clustering, p-Wasserstein, MMD, Mean-Variance optimisation, Stochastic processes, numerical methods, stochastic volatility models, regime classification, unsupervised learning

2.

Portfolio Optimisation With Options

Number of pages: 25 Posted: 01 Feb 2022
Jonathan Chan, Thomas Huckle, Antoine (Jack) Jacquier and Aitor Muguruza
Kaiju Capital Management, Kaiju Capital Management, Imperial College London and Imperial College London
Downloads 758 (84,582)

Abstract:

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Options portfolio, modern portfolio theory, copulas, tail dependence