MIT Quant Guru Andrew Lo on Market's Meltdown: ‘August Sucks’By
Lo sees 'a number of different forces' coming to a head
Event risk is something algo trading 'can't really manage yet'
Andrew Lo has spent a lot of time peering into Wall Street’s various black boxes and "modeling the endogenous risk among hedge fund strategies." The finance professor at Massachusetts Institute of Technology’s Sloan School of Management and chairman of AlphaSimplex Group LLC shared his thoughts on Friday about the recent spate of volatility in the stock market and what role strategies such as risk parity, trend-following commodity trading advisers and volatility targeting may have played.
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