Frederic Boyer | Head of Quantitative Research - Global Credit
Citadel LLC

Frederic Boyer, Head of Quantitative Research - Global Credit, Citadel LLC

Frederic Boyer is head of Quantitative Research for Global Credit at Citadel. In this role, he manages a team of researchers that are in charge of all mathematical and statistical modeling of risk and returns of linear and non-linear securities traded by the Global Credit business, including convertible and corporate bonds, credit default swaps, equities and equity options.Mr. Boyer joined the firm in 2002 as a quantitative researcher. He was appointed to his current role in 2006. Prior to joining Citadel, he worked as an economist for Banque de France. Mr. Boyer graduated from the Ecole Polytechnique in Paris and holds a masters of science from ENSTA and the University of Paris.


TSC 2018 - DAY 1 @ 16:30

Building a quant strategy - VIX vs. S&P 500

  • Which futures should we trade? Front month, Second month...?
  • What “roll yield” should we enter / exit at?
  • How do we compute the hedge ratio of the VIX to S&P 500?
  • Is it better to trade ETFs (VXX, SPY) or futures (VIX and E-mini)?
  • Effect of transaction costs, short fees and commissions

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