Ep. 242: Jean-Philippe Bouchaud Interview with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
Michael Covel
4.6 • 732 Ratings
🗓️ 27 May 2014
⏱️ 26 minutes
🧾️ Download transcript
Summary
My guest today is Jean-Philippe Bouchaud, the Chairman of the multi-strategy quantitative hedge fund Capital Fund Management (5B+ AUM) and co-supervisor of the research team. He is a well known authority in the field of Econophysics, co-author of "Theory of Financial Risks and Derivative Pricing", a Professor of École Polytechnique where he teaches Complex Systems and has his Ph.D in theoretical physics from École Normale Supérieure.
The topic is Trend Following.
In this episode of Trend Following Radio we discuss:
- Bouchaud's physics background and how it collided with the world of classical economics
- The Black-Scholes model, and its still use; experimenting with simulation
- Bouchaud and his colleague's paper, "Two Centuries of Trend Following"
- The efficient market hypothesis
- Why the existence of trends is one of the most statistically significant anomalies in financial markets
- How trends predate trend following
- Why classical economics has no framework through which to understand "wild markets"
- Benign randomness vs. wild randomness
- Accepting uncertainty
- Differences between physicists and economists
Jump in!
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I'm MICHAEL COVEL, the host of TREND FOLLOWING RADIO, and I'm proud to have delivered 10+ million podcast listens since 2012. Investments, economics, psychology, politics, decision-making, human behavior, entrepreneurship and trend following are all passionately explored and debated on my show.
To start? I'd like to give you a great piece of advice you can use in your life and trading journey… cut your losses! You will find much more about that philosophy here: https://www.trendfollowing.com/trend/
You can watch a free video here: https://www.trendfollowing.com/video/
Can't get enough of this episode? You can choose from my thousand plus episodes here: https://www.trendfollowing.com/podcast
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Hope you enjoy my never-ending podcast conversation!
Transcript
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| 0:00.0 | This is Trend Following Radio, where great thinking comes alive. |
| 0:10.9 | Nobel Prize winners, legendary traders, bestselling authors, and the pros that know what drive us irrational human beings. |
| 0:21.2 | I am your host, Michael Coval. |
| 0:24.0 | Not filtered, raw, honest. |
| 0:27.3 | That's my passion. |
| 0:33.3 | Today in the show I have Dr. Jean-Philippe Boucho. |
| 0:36.8 | He is chairman of a multi-strategy quantitative hedge fund called Capital Fund Management. |
| 0:42.8 | He's co-supervisor of the research team. |
| 0:45.1 | He is a well-known authority in the field of econ physics and a co-author of theory of financial risks and derivative pricing. |
| 0:53.0 | He's a professor of Ecole Politinique, where he teaches complex systems. |
| 0:58.1 | He is a member of the European Initiative called Crisis, standing for the Complexity Research |
| 1:03.0 | Initiative for Systemic Instabilities. |
| 1:06.6 | And he holds a PhD in theoretical physics from Eco Normale Superior. |
| 1:12.3 | I hope you enjoy this conversation. |
| 1:21.1 | So I want you to elaborate on your physics background, |
| 1:26.4 | but bring that into this framework of classical economics. |
| 1:32.0 | Classical economics, the rationality of economic agents, the supposed rationality, |
| 1:37.1 | the invisible hand, market efficiency. |
| 1:40.3 | But for some reason, the idea of empirical data often gets left out of the equation. |
| 1:47.4 | And I've seen with some other traders that have had success, a physics background is different. |
| 1:56.0 | It allows you to maybe look at the world through a wider lens. |
| 2:00.3 | Yeah, exactly. I mean, I'm surprised that you say all of this, because that's more |
... |
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