The Sophron Network

Salomon Sebbag joins The Sophron® Network to discuss what three decades of trading emerging markets taught him about liquidity, risk and discipline.He spent 27 years at J.P. Morgan, most of them making markets in emerging market rates and currencies, and explains why emerging markets are G10 trading "on steroids", why a good market maker carries as little risk as possible, and why the market is always bigger than you.Salomon Sebbag trained as an engineer at École Centrale Paris and took a postgraduate finance degree at Paris Dauphine. He joined J.P. Morgan in 1992 and became a Managing Director in emerging markets trading across interest rates, currencies, FX options and relative value.From 2020 to 2023 he was a senior trader and advisor at Morgan Stanley in London. Since 2019 he has lectured on futures, trading and risk management at business schools.We cover how an emerging market is built through a network of market makers, why gap risk changes how you price and size, the safe pair of hands test he used when hiring, and the crises that shaped his risk management, from the Czech koruna in 1997 to LTCM, 2008 and the 2013 taper tantrum.We also discuss technology on the trading floor, why "emerging markets" is now a label without much meaning, weak bond auctions as an early warning signal, and his stop loss rule.Core Timestamps00:00 - Cold open01:01 - Welcome and Salomon's background02:33 - Building liquidity in emerging markets07:30 - Carrying as little risk as possible10:30 - Hiring traders: the safe pair of hands14:32 - From G10 to emerging markets in 199717:02 - Technology and never resisting change23:00 - Trading through the crises of the 1990s26:30 - LTCM and why the market is always right30:30 - Market structure, client flows and the taper tantrum41:31 - Emerging markets are no longer one block50:31 - When to cut a losing positionMain Topics CoveredLiquidity, gap risk and why emerging markets are not continuousWhy a market maker's default position is the least possible riskHiring traders for discipline and judgementLessons from the Czech koruna crisis, LTCM and 2008Client flows, market share and the 2013 taper tantrumWhy the emerging markets label is out of dateWriting down your stop loss before the market opensConnect With UsInstagram: https://instagram.com/amsterdaminvestLinkedIn: https://linkedin.com/company/amsterdam-investment-clubX: https://x.com/amsterdaminvestSubscribe for more conversations at the intersection of markets, research, and technology.

Prof. Albert Menkveld joins The Sophron® Network to discuss what high-frequency traders actually do for, and to, the rest of the market.He explains how a fast market maker made it possible for a second venue to compete and halved bid-ask spreads, why spending on speed keeps quotes tight, and when the same fast traders turn against a large institutional order.Albert Menkveld is Professor of Finance at the Vrije Universiteit Amsterdam and a research fellow at the Tinbergen Institute. He wrote the first study of a high-frequency market maker seen through its own trades, and High-Frequency Trading around Large Institutional Orders with Vincent van Kervel in the Journal of Finance.He was President of the European Finance Association in 2024, is a member of the Royal Netherlands Academy of Arts and Sciences, sits on the Capital Market Committee of the AFM, and spent five years at KLM before academia, ending as investor relations manager.We also discuss his work on AI "errors", news traders versus value traders in EURO STOXX 50 futures, back running, persuasive AI and clearing.Follow Albert MenkveldLinkedIn: https://www.linkedin.com/in/albertjmenkveld/Bluesky: https://bsky.app/profile/albertjmenkveld.comPapers: https://albertjmenkveld.comMicrostructure course: https://microstructure-course.com/Core Timestamps00:00 - Cold open00:56 - Welcome and introduction03:30 - AI "errors": the machines versus 164 human teams07:26 - From KLM investor relations to a PhD09:16 - Amsterdam or New York: where is a stock priced?10:28 - Fragmentation and where information starts12:39 - Why two markets can beat one17:07 - Earning the spread, losing on the position18:52 - The speed race and tight spreads21:36 - Precise or fast: AI in the quote engine23:51 - AI has been in trading for years25:01 - How many venues are too many?27:29 - Does news trading crowd out value trading?32:10 - Why the CAPM has no trading in it36:44 - High-frequency traders around large institutional orders39:40 - Back running42:40 - What is next: persuasive AI and clearing46:29 - The microstructure courseConnect With UsInstagram: https://instagram.com/amsterdaminvestLinkedIn: https://linkedin.com/company/amsterdam-investment-clubX: https://x.com/amsterdaminvestSubscribe for more conversations at the intersection of markets, research, and technology.

Prof. Carol Alexander joins The Sophron® Network to discuss risk in the places the models do not look.From the unregulated exchanges where Bitcoin is still priced, to the liquidation rules that turn small moves into crashes, to AI agents that can coordinate with each other: a conversation between optimism about what AI makes possible and a sober view of where it could lead.Prof. Carol Alexander is Professor of Finance at the University of Sussex Business School, where she directs QFIN, the Quantitative Finance International Network. She is the author of the four-volume Market Risk Analysis and edited the Journal of Banking and Finance for a decade from 2013.She started as a bond analyst at Phillips & Drew, then worked at Algorithmics and as Head of Market Risk Modelling at Nikko Securities. Since 2019 her research has concentrated on crypto derivatives, and she was a model architect for FTX US Derivatives.We examine why risk managers have no power, why Coinbase follows Binance within a second, how 500x leverage and automatic liquidations turn a 10% move into a 50% crash, and which chapter of Market Risk Analysis she would rewrite for perpetuals.We also discuss the Young Finance Scholars Conference, citation networks in finance publishing, the AI 2027 report and the Hugging Face attack.Follow Carol AlexanderLinkedIn: https://www.linkedin.com/in/carol-alexander-426914b8/Her networking tokens: https://lnkd.in/p/e3EZ7FsYHer post on the Hugging Face attack: https://lnkd.in/p/ewuagPBWCore Timestamps00:00 - Cold open: AI as a swarm of bees01:00 - Welcome and introduction01:29 - The Young Finance Scholars Conference06:15 - Black Monday 1987 and why risk needed mathematics07:21 - Why risk managers have no power09:42 - AI risk and teaching AI12:49 - The AI 2027 report and jobs20:10 - FTX and a risk-based margin model23:34 - Bitcoin is priced on unregulated exchanges25:13 - 500x leverage and liquidation28:13 - Price discovery: CME, Binance and Coinbase33:04 - Rewriting Market Risk Analysis for perpetuals35:54 - Volatility ETNs and leveraged products39:59 - Citation cartels in finance journals43:24 - AI writing papers, AI refereeing papers50:35 - Advice to the next generation52:50 - The Hugging Face collective54:45 - Closing thoughtsMain Topics CoveredWhy risk managers lack power inside firmsPrice discovery on unregulated exchangesLeverage, liquidation and flash crashesPerpetuals and leveraged productsAI in academic publishingAI agents and AI riskConnect With UsInstagram: https://instagram.com/amsterdaminvestLinkedIn: https://linkedin.com/company/amsterdam-investment-clubX: https://x.com/amsterdaminvestSubscribe for more conversations at the intersection of markets, research, and technology.

Dr. Paul Wilmott joins The Sophron® Network to ask whether we have just passed the peak of human intelligence.What was meant to be a technical conversation about quant finance turns into something broader: why so much of finance still assumes the world is linear, why pure thought still beats a billion parameter black box, what happens when models trade against models, and which human skills are worth protecting once AI can do the rest.Dr. Paul Wilmott is a mathematician, author and consultant specialising in derivatives, risk management and quantitative finance, and the creator of the Certificate in Quantitative Finance (CQF), which he has taught for over two decades and which is today delivered by Fitch Learning.He received his DPhil in fluid mechanics at St Catherine's College, Oxford, founded the Diploma in Mathematical Finance at Oxford and the journal Applied Mathematical Finance, was a founding partner of the hedge fund Caissa Capital, and runs wilmott.com and Wilmott magazine.We examine nonlinearity, the right level of mathematics, Navier-Stokes versus data-driven AI, portfolio insurance and the 1987 crash, the feedback effect of hedging, and why he hates calibration.We also discuss Paul Wilmott's first rule of quant finance, and why he would teach every child mathematics, magic and charades.Follow Paul WilmottWebsite: https://wilmott.comCQF: https://www.cqf.comCore Timestamps00:00 - Cold open: the peak of human intelligence00:27 - Welcome and introduction02:05 - The nonlinearity rant04:11 - From fluid mechanics to options07:19 - Why he built the CQF09:57 - Models that do not work, and why people use them12:27 - Navier-Stokes versus a billion parameter black box16:43 - Models competing with models and 198718:17 - Look at the people: human nature and trust22:08 - Maths, magic and charades31:57 - Will assumptions disappear, replaced by data?33:50 - The feedback effect of hedging37:29 - Attention spans and black-and-white movies41:13 - Calibration and Paul Wilmott's first rule44:59 - What should a quant learn now?49:15 - Critical thinking51:57 - The maths is easy, human nature is hardMain Topics CoveredNonlinearity and the limits of linear modelsHow the CQF was built, and what it teaches differentlyPure thought versus data-driven AIFeedback effects and model-on-model marketsWhy calibration to market prices misleadsEmpathy and critical thinking in the age of AIConnect With UsInstagram: https://instagram.com/amsterdaminvestLinkedIn: https://linkedin.com/company/amsterdam-investment-clubX: https://x.com/amsterdaminvestSubscribe for more conversations at the intersection of markets, research, and technology.

Michael Fritzell joins The Sophron® Network to answer a question most European investors never ask properly: should you invest in Asia at all?His answer is no, you do not have to. Then he explains why he has spent sixteen years doing exactly that: why decades of Asian growth so rarely reached the shareholder, how to think in emerging market cycles, what is happening at both ends of the Korean market, and how a patient stock picker finds 20 percent IRRs in markets nobody else is covering.Michael Fritzell is the publisher and writer behind Asian Century Stocks, an equity research publication on overlooked companies across East Asia, Southeast Asia and Australasia, read by more than 20,000 investors. Swedish by background, he holds a Master's in Economics from the Stockholm School of Economics and studied Mandarin at Peking University.He began his career in investment banking in London before moving to Asia in 2009 as a research analyst for an emerging market fund manager in China. He has been based in Singapore since 2014, at a European family office, a start-up hedge fund and his own contract research business, before turning Asian Century Stocks into his full-time work in 2021.We examine share issuance, minority protections and capital controls, Marc Faber's seven phase cycle and why Indonesia sits close to full capitulation, the AI capex boom at the top of the KOSPI and the value-up reforms underneath it, Japanese SaaS after the February panic, and AeroEdge, a 70 million dollar Safran supplier found on YouTube that went up ten times in a year.We also discuss his 20 percent IRR hurdle, credit bureaus as toll bridges, the one Korean stock he would hold for a decade, and why a European starting from an index should skip the EM ETF.Follow Michael FritzellLinkedIn: https://www.linkedin.com/in/michael-fritzell-1aab10/Website: https://www.asiancenturystocks.comX: https://x.com/MikeFritzellCore Timestamps00:00 - Cold open: Indonesia under Prabowo00:34 - Welcome and introduction02:08 - Sixteen years in Asia, and why a newsletter instead of a fund05:53 - Do you have to own Asia?11:02 - Why the growth never reached the shareholder15:02 - Marc Faber's seven phase cycle and Indonesia today20:37 - Currency, reflexivity and macro in frontier markets23:32 - Korea and Taiwan: the AI capex boom28:24 - Japan: SaaS after the AI panic32:39 - A 20 percent IRR hurdle and the 18 month catalyst36:42 - Korea's hidden champions and the value-up reforms44:19 - AeroEdge: the ten-bagger found on YouTube48:20 - Toll bridges, credit bureaus and consumer stocks52:05 - Rapid fire: where a European should start57:48 - The one stock for a decadeMain Topics CoveredWhy you do not have to own Asia, and the opportunity set that keeps him thereShare issuance, minority protections and capital controlsEmerging market cycles, reflexivity and IndonesiaKorea from both ends: the AI capex peak and the value-up reformsJapanese SaaS, freee and the February software panicA 20 percent IRR hurdle, catalysts and falling knivesAeroEdge and the Japan Company HandbookCredit bureaus, NICE Information Service and how to startConnect With UsInstagram: https://instagram.com/amsterdaminvestLinkedIn: https://linkedin.com/company/amsterdam-investment-clubX: https://x.com/amsterdaminvestSubscribe for more conversations at the intersection of markets, research, and technology.