Artemis’ New Fund Callisto Combines Vol Arb With Machine Learning

Artemis Capital Management is combining the disciplines of volatility arbitrage and machine learning in a new relative-value fund launching February 1. The firm uses machine learning models to assess the probabilities of conditions that lead to “volatility wildfires.” This is to better understand the likelihood of a change in volatility regime to opportunistically size derivatives exposure. EQDerivatives’ Georgia Reynolds spoke with Artemis’ Christopher Cole on the new fund, Artemis Callisto, and how it uses machine learning to predict underlying market conditions and size positions.