The Sophron Network

Mathieu Rosenbaum joins The Sophron® Network to explain why volatility has to be rough. In 2014 Mathieu, Jim Gatheral and Thibault Jaisson showed that volatility behaves like a rough process, with a Hurst parameter around 0.1. Twelve years on, he argues it is not just a better fit to the data but a consequence of how markets work. Mathieu Rosenbaum is Professor at École Polytechnique, where he wor...

Salomon Sebbag joins The Sophron® Network to discuss what three decades of trading emerging markets taught him about liquidity, risk and discipline. He spent 27 years at J.P. Morgan, most of them making markets in emerging market rates and currencies, and explains why emerging markets are G10 trading "on steroids", why a good market maker carries as little risk as possible, and why the market is a...

Prof. Albert Menkveld joins The Sophron® Network to discuss what high-frequency traders actually do for, and to, the rest of the market. He explains how a fast market maker made it possible for a second venue to compete and halved bid-ask spreads, why spending on speed keeps quotes tight, and when the same fast traders turn against a large institutional order. Albert Menkveld is Professor of Finan...

Prof. Carol Alexander joins The Sophron® Network to discuss risk in the places the models do not look. From the unregulated exchanges where Bitcoin is still priced, to the liquidation rules that turn small moves into crashes, to AI agents that can coordinate with each other: a conversation between optimism about what AI makes possible and a sober view of where it could lead. Prof. Carol Alexander...

Dr. Paul Wilmott joins The Sophron® Network to ask whether we have just passed the peak of human intelligence. What was meant to be a technical conversation about quant finance turns into something broader: why so much of finance still assumes the world is linear, why pure thought still beats a billion parameter black box, what happens when models trade against models, and which human skills are w...

Michael Fritzell joins The Sophron® Network to answer a question most European investors never ask properly: should you invest in Asia at all? His answer is no, you do not have to. Then he explains why he has spent sixteen years doing exactly that: why decades of Asian growth so rarely reached the shareholder, how to think in emerging market cycles, what is happening at both ends of the Korean mar...

Maximillian Nölke joins The Sophron® Network to explain how an electricity market actually trades, from the inside of an Irish power desk. We start with the overnight period that cleared at 200 to 240 euro when the desk had expected 120 to 130, and work outwards: why gas still sets the price in a system built around wind, why a battery is the only asset that can move electricity through time, and...

Henry Atkins joins The Sophron® Network to discuss what it actually takes to build a quantitative trading desk from nothing. A group of university students wrote trading code between lectures and ran it from the library. What began as a $25,000 seed allocation has grown into a firm managing over $50 million in assets. Three or four years later the firm was FCA regulated and allocating for institut...

Merlijne Keuss joins The Sophron® Network for a practitioner-level hour on what it actually takes to get a real business settling on a regulated stablecoin. Her first job in any client conversation is not selling. It is working out whether a compliant euro or dollar token improves anything at all, and a fair amount of the time the honest answer is that it does not. Merlijne Keuss is a Business Dev...

Martijn Bron joins The Sophron® Network to describe what physical commodity trading actually consists of, and how little of it resembles the version visible from outside. We start with a cocoa futures market that ran for years with no position limits and no delivery limits, where squeezes and corners were part of the furniture, and work through what it takes to hedge a global processing business i...

Raj Shah joins The Sophron® Network to correct the way most people frame options: not as levered stock trades, but as risk transfer contracts. Cboe created the listed options market in 1973. Raj is a Senior Instructor in its education division, The Options Institute. We use his correction as the way into how an options trade physically moves through the market, what the data actually says about 0D...

Imran Lakha joins The Sophron® Network to discuss what it takes to run an index options book at institutional size, and what changed when he left the bank to trade his own. We go through the 2008 volatility regime from the seat, why skew rather than gamma was the trade that made the money, and the risk that quietly kills short skew desks when the market stops behaving. We then move to the mark...

Guilherme Bernabe joins The Sophron® Network to discuss why hedging is bought as insurance rather than traded as a position, and what happens to the companies that get that distinction wrong. We cover how you protect a margin in an economy where the currency moved from 2.4 to almost 6 against the dollar in a decade, the instruments that get used when a CFO has a real invoice to pay, and why the fi...

Euan Sinclair joins The Sophron® Network to discuss where the edge in options trading has actually gone after thirty years. He explains why the mathematics he learned during a physics PhD mostly did not transfer, why a GARCH model that printed money in 1998 is priced in today, and why the edge now lies in finding situations rather than in building a better pricing model. Euan Sinclair is Portfolio...

Alexander Levin and Daniel van Flymen join The Sophron® Network to explain how they built Plettenberg Capital, an AI-native quantitative fund in New York run like a software company. Roughly 500 live algorithms, and no language model anywhere near the market. We take the fund apart layer by layer: the mental model they started from, the data layer everything rests on, the single engine that does b...

Marc Nunes joins The Sophron® Network to argue that a weaker trading signal nobody else has is worth more than a stronger one that every fund already runs. He has sat on essentially every side of the quantitative trade, and now runs open competitions claiming a global crowd can out-signal the very research teams he used to lead. This episode puts that to him as a research question rather than a pi...

Robert Carver joins The Sophron® Network to explain what changes, and what does not, when you go from running a $5 billion fixed income book at a systematic hedge fund to trading your own futures portfolio from home. His system covers roughly 250 futures markets, runs fully automatically, and needs about five minutes of his attention a month. This conversation is about what those five minutes are...

Luciano Boudjoukian França joins The Sophron® Network to answer a question most quants never get to ask: is Brazil a hidden gem, or a trap dressed up as one? A factor strategy backtested on Brazilian equities can show roughly three times the alpha of the same strategy in the United States. Most of it never reaches the investor. This is a conversation about the gap between the backtest and the live...

Rob de Rozario joins The Sophron® Network to explain why the gap between a sub 3 trillion dollar digital asset market and the roughly 200 trillion dollar world of traditional finance gets closed on risk and education, not on returns. After two decades structuring exotic and FICC derivatives, Rob moved into digital assets because most participants could describe extraordinary returns but could not...

Jeremy Kadouch, Portfolio Manager at MN Fund, joins The Sophron® Network to answer a deceptively simple question: how close are we to fully autonomous trading? MN Fund runs a 24/7 systematic volatility engine that reads the market, reasons about it, and executes on its own. But the trade decision is deliberately kept away from AI, and the honest answer on autonomy is fewer decision makers rather t...

Aditya Shetty joins The Sophron® Network to talk through "internet capital markets": the idea that with a phone and an internet connection you can access any asset, any market, regardless of your location, your politics or your investment size. Recorded the same week tokenized SpaceX went live, the conversation is grounded in a concrete example and an honest distinction every finance listener need...

Amay Patel joins The Sophron® Network for our first in-person episode on what it takes to build and run a market-neutral crypto hedge fund. An OG member of Amsterdam Investment Club, Amay went from independent quant trader, to an Amsterdam-based fund, to launching his own fund. We dig into the strategies, deal-making, and risk discipline behind that path. Amay Patel is Partner and Head of Investme...

Dr. Yves Hilpisch joins The Sophron® Network to discuss what happens to quants in the AI era. We trace two decades of Python in quantitative finance, from a language barely on the radar in 2005 to today's industry standard, and ask how generative AI and agentic coding are reshaping quant careers. The conversation moves from the practical gap between a backtest and a live strategy to the skills...

Marc Ostwald joins The Sophron® Network to discuss how the drivers of markets have changed across four decades, why the financial economy has drifted from the real one, and where the next generation of edge will come from. The conversation moves from central bank evolution and conditioned buy-the-dip behaviour into refining bottlenecks, the helium and rare-earth chokepoints behind the AI boom, and...

Nikita Granger joins The Sophron® Network to discuss how quantitative finance operates in physical commodity markets — from pricing exotic structured derivatives in power and gas to managing risk across Shell's global infrastructure portfolio. We explore why energy markets function fundamentally differently from equities, how spread options and compound options are used to model real assets, a...