FMI Technologies

Revant Nayar Nayar is the Principal and CIO of FMI Technologies a pioneering quantum-inspired quantitative hedge fund! We are super excited to learn from Revant at the Columbia University’s Mathematics of Finance MA (MAFN) program 2025 Conference!

We spoke to Revant Nayar, FMI Technologies at QuantMinds International on how his background in theoretical physics led him to quant finance 💡 He delves into the application of quantum field theory in financial markets, the concept of multi-scale asset allocation and the benefits of econophysics for risk management in this enlightening interview! Watch more here 👉 http://spr.ly/6044aRRo0 #QuantMinds #quantfinance #quantumfieldtheory #theoreticalphsyics #econophysics

I was glad to present at QuantMinds this year, our work with FMI’s CRO Raphael Douady on Multiscale Markowitz. https://lnkd.in/gpNcTmNS Here we showed that in cases of rough volatility, regime shifts and illiquid assets, the variance changes non-trivially with scale. This along, with the multifractal variation of the correlation (the Epps effect in disguise!), results in a non-trivial RG flow of the covariance matrix. We propose a multiscale alternative to Markowitz that averages across scale, and show it results in an increase in Sharpe and Sortino, and a decrease in drawdowns. A big shout out to Afif Fakhreddine and Pippa Tidd for organising a very strong conference with an emphasis on cutting edge techniques in not just generative AI but also signatures, quantum optimisation and derivatives pricing. An excellent overview of the conference talks can be found here- https://lnkd.in/g8qQYqJX One of the great aspects of the conference has been the speaker lounge, where I have over the last two years had interesting and fruitful conversations with the likes of Raphael Douady, Saavan Patel, Mihail Turlakov, Paul Buigues Leon Tatevossian and others. It’s a great space for brainstorming and reflection. One of the things I was reflecting on was something our VC investor Teruhide Sato encouraged me to do - to articulate a mission statement for our firm FMI Technologies. I realized that our mission is the creation of the financial equivalent of AGI- a framework for finding 'universal' anomalies, that hold across frequencies, asset classes and geographies. I have linked it below.  We are in the midst of raising our seed GP round and if it resonates with you, reach out to me at rnayar@fmitech.net for more details

There are two reasons to visit Stony Brook this time of year: one, to hike and enjoy the fall foliage; and two, to attend the Trends in Machine Learning Risk Management conference at the AMS Department at Stony Brook, organized by the prolific quant researcher Pawel Polak along with Stan Uryasev. I had the pleasure of speaking on ‘Multiscale Markowitz,’ a collaboration with Raphael Douady. The idea is motivated by the non-trivial variation of the covariance matrix with scale, observed especially around bubbles, crashes and illiquid assets (where volatility becomes rougher than usual). The nuance we point out here is that fractal scale variation can be because of both time dependence and fat tails, and we need a parameter that captures the effect of both. Inspired by physics, we introduce the dynamical critical exponent (2H/α), where H is the Hurst exponent and α is the tail exponent. This lends itself to multifractal generalisation really well. We show that multifractal scaling of the covariance matrix is not just allowed but also expected- it’s the well known Epps effect in disguise! We found an increase in Sharpe and a decrease in volatility through the multiscale portfolio optimisation approach. The conference featured many outstanding talks by both academics and practitioners. Notable highlights include: • Pawel Polak presentation on fractional momentum strategies with lower turnover. • Stan Uryasev’s discussion of drawdown betas. • Dr. Ionut Florescu’s development of a reinforcement-learning-based exchange simulator. • Dan diBartolomeo’s fascinating introduction of news-based time parameterization (endogenous time). • Jason Bohne’s work on bilevel optimization. • Robert Frey, formerly of Renaissance Technologies, offering a novel explanation for the collapse of high-Sharpe hedge funds (hint: it has to do with position sizing).  Along with several others. Pawel Polak is not only an excellent conference organizer but also one of the most prolific researchers in quantitative finance today. At FMI, we are proud to collaborate with him and have him on our Advisory Board. If you’re involved in quantitative finance, I highly recommend following his work.

FMI at the Fixed Income Leaders Summit conference!

Revant Nayar wonders out loud why Wall Street hasn't had its #ChatGpt #Ai moment yet?

The next speaker in our Econophysics webinar series is Mohammed Ali Mohammed who is going to give a talk titled "Dynamics of nonlinear wave-defect interaction in bistable mechanical lattices". The Speaker's Bio and an abstract of the talk are attached below. Please join the talk using the following link. Link: To join the video meeting, click this link: https://lnkd.in/g_pwd_xx Otherwise, to join by phone, dial +1 226-317-5205 and enter this PIN: 315 401 530# Time and Date: 2:30 PM(EST) on Wednesday(17th April). ABSTRACT Mechanical metamaterials are structured materials exhibiting functionalities that are not found in naturally occurring materials. The building blocks of mechanical metamaterials may exhibit different responses such as folding, snapping, buckling, or rotation in response to external forces. The design task involves combining these building blocks to produce desired collective behavior in response to external input. Currently, mechanical metamaterials are being explored for different applications such as energy harvesting, shock isolation, and analog computation. In this talk, I will present our research findings regarding the dynamics of a transition wave traveling in a 1-D chain of bistable elements in the presence of a defect. Numerical simulations show that depending upon its initial speed, an incoming transition wave can get transmitted, captured, or get reflected upon interactions with the defect. The dynamics are dominated by energy exchange between the transition wave and a breather mode localized at the defect. We derive a reduced-order two degree of freedom Hamiltonian model for wave-breather interaction and analyze it using dynamical systems techniques. Lobe dynamics analysis reveals the fine structure of phase space that leads to the complicated dynamics in this system. This research is a building step toward forming a systematic method to defect engineering for manipulating nonlinear waves. About the speaker: Mohammed Ali Mohammed is a PhD student in the mechanical and materials engineering department at the University of Nebraska-Lincoln. He received his MSc in mechanical engineering from the California State University-Fullerton. He is currently working in the Dynamical Systems Lab under the supervision of Prof. Piyush Grover. His current research focuses on defect engineering of wave propagation in mechanical metamaterials.