Zura Kakushadze

Email: zura@quantigic.com

Zura KakushadzeZura Kakushadze received his Ph.D. in theoretical physics from Cornell University at 23, was a Postdoctoral Fellow at Harvard University, and an Assistant Professor at C.N. Yang Institute for Theoretical Physics at Stony Brook University. He received an Alfred P. Sloan Foundation Fellowship in 2001. After expanding into quantitative finance, he was a Director at RBC Capital Markets, Managing Director at WorldQuant, Executive Vice President and substantial shareholder at Revere Data (now part of FactSet), and Adjunct Professor at the University of Connecticut. Currently he is the President and CEO of Quantigic® Solutions and a Full Professor at Free University of Tbilisi, Georgia. He has over 17 years of hands-on experience in quantitative trading and finance, 130+ publications in physics, finance, cancer research and other fields, including the book “151 Trading Strategies”, 3,400+ citations and h-index 30+, 143,000+ downloads on SSRN, and over a quarter million followers on LinkedIn.

Papers Published in World Economics:

Quant Bust 2020

We explain in a nontechnical fashion why dollar-neutral quant trading strategies (e.g. statistical arbitrage) suffered substantial losses (drawdowns) during the COVID-19 market sell-off. We discuss: (i) why such strategies work during “normal” times; (ii) the market regimes when they work best; and (iii) their limitations and why they “break” during extreme market events. An accompanying appendix (with a link to freely accessible source code) includes back-tests for various strategies, which put flesh on and illustrate the discussion in the main text.

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Coronavirus: The Case for Digital Money?

We discuss the advantages of adopting government-issued digital currencies and a supranational digital iCurrency. This will get rid of paper money, a ubiquitous medium for spreading germs, as highlighted by the recent coronavirus outbreak. We set forth three policy recommendations for adapting mobile devices as new digital wallets, regulatory oversight of sovereign digital currencies, and a supranational digital iCurrency. We also argue that the USA should reevaluate its “exorbitant privilege and exorbitant duty” in light of the financial meltdown from the coronavirus outbreak.

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We discuss the idea of a purely algorithmic universal world iCurrency in light of recent developments, including Libra. We analyze the Libra proposal, including the stability and volatility aspects, and discuss various issues to be addressed. For example, one cannot expect a cryptocurrency such as Libra to trade in a narrow band without a robust monetary policy. A technical appendix (available online) provides a detailed mathematical description of the (crypto) FX rate dynamics in target zones.

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CryptoRuble: From Russia with Love

A large number of decentralized cryptocurrencies has emerged since the inception of Bitcoin in 2009, with a total market size exceeding $170bn. Recent reports suggest that Russia will issue its government-backed cryptocurrency, CryptoRuble, in the middle of 2019. Russia’s primary goal in issuing a government cryptocurrency is to free its monetary system from the controls exerted by the Federal Reserve and their allied central banks. Government-issued cryptocurrencies will increase: Large sovereign states have the technological know-how and means to do this, but small and/or developing countries may be forced to outsource issuance of their government-backed cryptocurrencies to larger states.

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