Thursday, April 23, 2020
Vineer Bhansali: Physics, Tail Risk Hedging, and 900% Coronavirus Returns - Manifold Episode #43
Steve and Corey talk with theoretical physicist turned hedge fund investor Vineer Bhansali. Bhansali describes his transition from physics to finance, his firm LongTail Alpha, and his recent outsize returns from the coronavirus financial crisis. Also discussed: derivatives pricing, random walks, helicopter money, and Modern Monetary Theory.
LongTail Alpha’s OneTail Hedgehog Fund II had 929% Return (Bloomberg)
A New Anomaly Matching Condition? (1992)
Added: Background on derivatives history here. AFAIK high energy physicist M.F.M. Osborne was the first to suggest the log-normal random walk model for securities prices, in the 1950s. Bachelier suggested an additive model which does not even make logical sense. See my articles in Physics World: 1 , 2
man·i·fold /ˈmanəˌfōld/ many and various.
In mathematics, a manifold is a topological space that locally resembles Euclidean space near each point.
Steve Hsu and Corey Washington have been friends for almost 30 years, and between them hold PhDs in Neuroscience, Philosophy, and Theoretical Physics. Join them for wide ranging and unfiltered conversations with leading writers, scientists, technologists, academics, entrepreneurs, investors, and more.
Steve Hsu is VP for Research and Professor of Theoretical Physics at Michigan State University. He is also a researcher in computational genomics and founder of several Silicon Valley startups, ranging from information security to biotech. Educated at Caltech and Berkeley, he was a Harvard Junior Fellow and held faculty positions at Yale and the University of Oregon before joining MSU.
Corey Washington is Director of Analytics in the Office of Research and Innovation at Michigan State University. He was educated at Amherst College and MIT before receiving a PhD in Philosophy from Stanford and a PhD in a Neuroscience from Columbia. He held faculty positions at the University Washington and the University of Maryland. Prior to MSU, Corey worked as a biotech consultant and is founder of a medical diagnostics startup.