Dr Jonathan Kinlay is quantitative researcher and founder of several quantitative hedge funds. He is founder and CEO of Systematic Strategies, LLC, a systematic hedge fund

Hedge fund

A hedge fund is a private pool of capital actively managed by an investment adviser. Hedge funds are only open for investment to a limited number of accredited or qualified investors who meet criteria set by regulators. These investors can be institutions, such as pension funds, university...

 that deploys high frequency

High frequency

High frequency radio frequencies are between 3 and 30 MHz. Also known as the decameter band or decameter wave as the wavelengths range from one to ten decameters . Frequencies immediately below HF are denoted Medium-frequency , and the next higher frequencies are known as Very high frequency...

 trading strategies using news-based algorithms.

Dr Kinlay, was the founder and General Partner of the Caissa Capital

Caissa Capital

Caissa Capital was a hedge fund founded by Jonathan Kinlay in 2002, based on his research on volatility arbitrage in the late 1990s. In addition to Kinlay, who was head of research and portfolio management, the management team comprised International Chess Grandmaster Ron Henley as head of trade...

 hedge fund, whose volatility arbitrage

Volatility arbitrage

In finance, volatility arbitrage is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a forecast of future realized volatility...

 strategies were developed by Dr Kinlay's investment research firm, Investment Analytics. Caissa, which managed $400M in assets, was ranked by FIMAT as the top performing fund in its class in 2004. Dr Kinlay went on to establish the Proteom Capital, whose statistical arbitrage

Statistical arbitrage

In the world of finance and investments, statistical arbitrage is used in two related but distinct ways:* In academic literature, "statistical arbitrage" is opposed to arbitrage. In deterministic arbitrage, a sure profit can be obtained from being long some securities and short others...

 strategies were based on pattern recognition

Pattern recognition

In machine learning, pattern recognition is the assignment of some sort of output value to a given input value , according to some specific algorithm. An example of pattern recognition is classification, which attempts to assign each input value to one of a given set of classes...

 techniques used in DNA sequencing

DNA sequencing

DNA sequencing includes several methods and technologies that are used for determining the order of the nucleotide bases—adenine, guanine, cytosine, and thymine—in a molecule of DNA....

. Dr Kinlay was formerly Global Head of Model Review at the US investment bank Bear Stearns

Bear Stearns

The Bear Stearns Companies, Inc. based in New York City, was a global investment bank and securities trading and brokerage, until its sale to JPMorgan Chase in 2008 during the global financial crisis and recession...

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Dr Kinlay holds a PhD in economics and has held positions on the faculty at New York University Stern School of Business, Carnegie Mellon and Reading Universities. Dr Kinlay is a regular conference speaker and writer on investment research, hedge fund investing and quantitative finance. Kinlay was a member of England's chess team that won gold in the World Student Olympiad in Mexico in 1978. He is the son of Fleet Street editor James Kinlay

James Kinlay

James Kinlay was a Scottish journalist and assistant editor of the Sunday Express, where for thirty years he was the right hand man of the late editor in chief John Junor....

 and father of British actress Antonia Kinlay

Antonia Kinlay

A British actress and graduate of the Royal Academy of Dramatic Art whose television credits include the BBC Television drama Consuming Passion , Doctors and the American TV movie Broadside...

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Research and publications

• Interview with Jonathan Kinlay on Systematic Strategies in Active Trader Magazine, Nov 2010
• "Long Memory and Regime Shifts in Asset Volatility" in The Best of Wilmott 1: Incorporating the Quantitative Finance Review Wiley, 2004, ISBN 978-0-470-02351-8
• Sicilian, Keres Attack, BT Batsford, 1981, ISBN 0713421398
• Market Timing and Return Prediction, Investment Research Report, Vol 1, Issue 1, 2001
• Modelling Volatility: The State of the ARCH, Investment Research Report, Vol 1, Issue 2,2001
• Estimating the Forward Term Structure, Investment Research Report, Vol 1, Issue 3, 2001
• The Returns to Risk Arbitrage, Investment Research Report, Vol 1, Issue 3, 2001
• Long Memory in Financial Markets, Investment Research Report, Vol 2, Issue 1, 2002
• Detecting Regime Shifts, Investment Research Report, Vol 2, Issue 1, 2002
• "Long Memory and Regime Shifts in Asset Volatility", Wilmott, Jan/Feb 2003
• Estimating Historical Volatility (with Michael Brandt), 2005
• Range-Based EGARCH Option Pricing, (with Stephen Taylor), 2005
• Forecasting Volatility in the S&P500 Index – An Empirical Test of Option Market Efficiency, 2006
• Volatility Forecasting in Emerging Markets, 2006
• Predicting Market Direction – Sign Dynamics and Volatility Dynamics, QuantNotes, Feb 2006
• Yield Curve Construction Models – Tools & Techniques, with Xu Bai, 2008
• The Lognormal Mixture Model: Applications in Interest rate, FX and Equity Derivative Pricing & Risk Management, 2008
• Can Machine Learning Techniques Be Used to Predict Market Direction? The 1,000,000 Model Test., 2011