The Sophron Network

Johannes Muhle-Karbe joins The Sophron® Network to discuss market impact, model misspecification, and why simple trading strategies often perform surprisingly close to complex nonlinear optima. The conversation spans three of his recent research areas: the P&L consequences of using incorrect impact models, Bayesian methods for estimating true out-of-sample Sharpe ratios, and the efficiency of...

Alex Zhong joins The Sophron® Network to discuss how quantitative traders build systematic strategies from scratch — from signal discovery and model validation to portfolio construction across dozens of uncorrelated strategies. The conversation covers what separates alphas that survive out-of-sample from those that don't, why crypto markets offer unique advantages for smaller systematic trader...

Lionel Martellini joins The Sophron® Network to discuss the structural evolution of modern portfolio construction — from the rise of passive investing to hidden factor exposures, broken retirement products, and the real implications of quantum technology for finance. We examine why cap-weighted indices dominate global portfolios, why equally weighted portfolios often outperform on a risk-adjusted...

Jean-Philippe Bouchaud is Chairman of Capital Fund Management (CFM). He founded ‘Science and Finance’ in 1994, the research arm of CFM with Jean-Pierre Aguilar, which merged with CFM in 2000. He supervises the research team alongside Marc Potters. Jean-Philippe maintains strong links with the academic world and is a professor at École Normale Supérieure (ENS). Prior to CFM, Jean-Philippe was a res...

Vincenzo Riflesso is Head of Risk at Maverix Securities, bringing over two decades of experience across trading and risk management. Before his current role, he spent nearly a decade at Leonteq as Head of Market Risk, IPV and PnL Reporting. Earlier in his career, he worked as an Equity Derivatives Trader at BNP Paribas, Intesa Sanpaolo, and UniCredit, after beginning as an Equity Analyst at Merril...

Sankarshan Basu is Professor of Finance and Accounting at the Indian Institute of Management Bangalore (IIMB). He has held senior academic leadership roles at IIMB and served as Dean at Amrut Mody School of Management, Ahmedabad University, with extensive international teaching experience across Europe and Asia. A former derivatives researcher at ICICI Treasury, he bridges academic rigor with mark...