The Sophron Network

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.

LinkedIn: https://www.linkedin.com/in/albertjmenkveld/
Bluesky: https://bsky.app/profile/albertjmenkveld.com
Papers: https://albertjmenkveld.com
Microstructure course: https://microstructure-course.com/

00:00 - Cold open
00:56 - Welcome and introduction
03:30 - AI "errors": the machines versus 164 human teams
07:26 - From KLM investor relations to a PhD
09:16 - Amsterdam or New York: where is a stock priced?
10:28 - Fragmentation and where information starts
12:39 - Why two markets can beat one
17:07 - Earning the spread, losing on the position
18:52 - The speed race and tight spreads
21:36 - Precise or fast: AI in the quote engine
23:51 - AI has been in trading for years
25:01 - How many venues are too many?
27:29 - Does news trading crowd out value trading?
32:10 - Why the CAPM has no trading in it
36:44 - High-frequency traders around large institutional orders
39:40 - Back running
42:40 - What is next: persuasive AI and clearing
46:29 - The microstructure course

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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.

LinkedIn: https://www.linkedin.com/in/carol-alexander-426914b8/
Her networking tokens: https://lnkd.in/p/e3EZ7FsY
Her post on the Hugging Face attack: https://lnkd.in/p/ewuagPBW

00:00 - Cold open: AI as a swarm of bees
01:00 - Welcome and introduction
01:29 - The Young Finance Scholars Conference
06:15 - Black Monday 1987 and why risk needed mathematics
07:21 - Why risk managers have no power
09:42 - AI risk and teaching AI
12:49 - The AI 2027 report and jobs
20:10 - FTX and a risk-based margin model
23:34 - Bitcoin is priced on unregulated exchanges
25:13 - 500x leverage and liquidation
28:13 - Price discovery: CME, Binance and Coinbase
33:04 - Rewriting Market Risk Analysis for perpetuals
35:54 - Volatility ETNs and leveraged products
39:59 - Citation cartels in finance journals
43:24 - AI writing papers, AI refereeing papers
50:35 - Advice to the next generation
52:50 - The Hugging Face collective
54:45 - Closing thoughts

• Why risk managers lack power inside firms
• Price discovery on unregulated exchanges
• Leverage, liquidation and flash crashes
• Perpetuals and leveraged products
• AI in academic publishing
• AI agents and AI risk

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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.

Website: https://wilmott.com
CQF: https://www.cqf.com

00:00 - Cold open: the peak of human intelligence
00:27 - Welcome and introduction
02:05 - The nonlinearity rant
04:11 - From fluid mechanics to options
07:19 - Why he built the CQF
09:57 - Models that do not work, and why people use them
12:27 - Navier-Stokes versus a billion parameter black box
16:43 - Models competing with models and 1987
18:17 - Look at the people: human nature and trust
22:08 - Maths, magic and charades
31:57 - Will assumptions disappear, replaced by data?
33:50 - The feedback effect of hedging
37:29 - Attention spans and black-and-white movies
41:13 - Calibration and Paul Wilmott's first rule
44:59 - What should a quant learn now?
49:15 - Critical thinking
51:57 - The maths is easy, human nature is hard

• Nonlinearity and the limits of linear models
• How the CQF was built, and what it teaches differently
• Pure thought versus data-driven AI
• Feedback effects and model-on-model markets
• Why calibration to market prices misleads
• Empathy and critical thinking in the age of AI

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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.

LinkedIn: https://www.linkedin.com/in/michael-fritzell-1aab10/
Website: https://www.asiancenturystocks.com
X: https://x.com/MikeFritzell

00:00 - Cold open: Indonesia under Prabowo
00:34 - Welcome and introduction
02:08 - Sixteen years in Asia, and why a newsletter instead of a fund
05:53 - Do you have to own Asia?
11:02 - Why the growth never reached the shareholder
15:02 - Marc Faber's seven phase cycle and Indonesia today
20:37 - Currency, reflexivity and macro in frontier markets
23:32 - Korea and Taiwan: the AI capex boom
28:24 - Japan: SaaS after the AI panic
32:39 - A 20 percent IRR hurdle and the 18 month catalyst
36:42 - Korea's hidden champions and the value-up reforms
44:19 - AeroEdge: the ten-bagger found on YouTube
48:20 - Toll bridges, credit bureaus and consumer stocks
52:05 - Rapid fire: where a European should start
57:48 - The one stock for a decade

• Why you do not have to own Asia, and the opportunity set that keeps him there
• Share issuance, minority protections and capital controls
• Emerging market cycles, reflexivity and Indonesia
• Korea from both ends: the AI capex peak and the value-up reforms
• Japanese SaaS, freee and the February software panic
• A 20 percent IRR hurdle, catalysts and falling knives
• AeroEdge and the Japan Company Handbook
• Credit bureaus, NICE Information Service and how to start

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Maximillian Nölke joins The Sophron® Network to explain how an electricity market actually trades, from the inside of an Irish power desk.

We start with the overnight period that cleared at 200 to 240 euro when the desk had expected 120 to 130, and work outwards: why gas still sets the price in a system built around wind, why a battery is the only asset that can move electricity through time, and why nothing a power trader does can be carried into tomorrow.

Maximillian Nölke is a Senior Energy Trader at GridBeyond in Dublin, where he trades Irish power on an assetless basis alongside PPAs on wind farms and battery storage. He joined in January 2026 from EP UK Investments, where he spent two years optimising a portfolio of twelve thermal generation plants across the all island market and ran the associated gas and carbon books. Before that he traded short term power at PrepayPower Energy Trading, covering the Irish single electricity market and GB intraday. Since 2019 he has also run his own research, building factor based strategies across equities, commodities, crypto and I-SEM power, including a price forecasting model on more than fifty variables.

We cover the shape of the trading day and its four hard auction deadlines, what really sets the price, and the part that surprises people from financial markets most: every half hour settles into imbalance, so the honest analogy is a one day option rather than a position you can sit on.

We also discuss DS3 and why a rarely called battery is still worth paying for, Europe's negative prices and the storage gap behind them, what optimising twelve thermal plants involves once gas, carbon and start costs meet the price you are willing to sell at, and which of his fifty model variables carried real weight.

LinkedIn: https://www.linkedin.com/in/maximillian-nolke
GridBeyond: https://gridbeyond.com

00:00 - Cold open: the overnight that paid over 200,000
00:30 - Welcome and introductions
03:46 - A day on an Irish power desk: four auctions, hard deadlines
06:52 - Why every half hour settles and nothing carries over
09:45 - What sets the price: gas, wind, temperature, interconnectors
13:05 - Data centres, EVs and air conditioning reshaping demand
14:45 - Batteries: the only technology that moves electricity through time
16:42 - DS3, ancillary services and keeping the system standing
18:08 - How he ended up in energy, and who gets blamed for prices
22:32 - Nuclear as baseload, and the ten year lead time
25:45 - From twelve thermal plants to an assetless book
28:13 - Gas, carbon and power: optimising a thermal fleet
33:04 - The true price of an energy day, and the overnight that paid
34:34 - Recency bias and how much past data is worth
37:49 - Constraints, curtailment and negative prices
41:22 - Why battery investors need revenue certainty
43:51 - The fifty variable model: what mattered, what was noise
45:49 - Weather forecasting as a genuine edge
47:39 - Breaking into energy trading: pick one narrow problem

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Henry Atkins joins The Sophron® Network to discuss what it actually takes to build a quantitative trading desk from nothing.

A group of university students wrote trading code between lectures and ran it from the library. What began as a $25,000 seed allocation has grown into a firm managing over $50 million in assets. Three or four years later the firm was FCA regulated and allocating for institutions in the UK and the US. Henry founded and led its quant desk, and this conversation is about how that is really done: designing the business before the strategy, raising against a track record that barely exists, and the research process that has to sit underneath any of it.

Henry Atkins is Head of Quant Trading at Deeter Analytics, a quantitative trading firm founded in 2025. He previously spent close to four years at MCD Capital, a London based systematic firm trading listed options and futures across CME, Cboe and the New York Stock Exchange, where he founded and led the quant trading desk and ran its intraday book in futures and equities.

Before finance he spent three years at Expedia Group as a machine learning scientist, working on learn to rank problems across millions of customer interactions. He read physics as an undergraduate and holds a master's in quantum computing.

We examine what a proprietary investor actually evaluates in a pitch, which has far less to do with performance statistics than most students expect, and what regulation is worth when the constraint is not the quality of your numbers but the quantity of evidence.

The conversation then turns to research process: building a platform against synthetic data with known faults injected, establishing bounds by training with look ahead bias, rolling walk forward models to generate a family of curves, and a bar data workaround for bracketing volume and slippage without tick data.

We close on technology. Where AI compresses the work and where accumulated tech debt stops it, why the infrastructure edge of the large multi manager platforms is falling in cost, how prediction markets may push the quant role from asset class specialty towards method specialty, and what separates a world model from a large language model when the environment gives continuous feedback.

Follow Henry Atkins

LinkedIn: https://www.linkedin.com/in/henry-atkins/

Blogs Henry Recommends

Stefan Schlamp, for interesting nuggets of financial data science and great storytelling: https://www.linkedin.com/in/stefanschlamp
Aleksa Gordić, for big machine learning work: https://www.aleksagordic.com/blog

Main Topics Covered

• Designing a systematic trading business before choosing a strategy
• What proprietary investors evaluate when there is no track record
• Regulation as a way to buy trust over a short trading history
• The three buckets of running a fund, and why trading is the hardest
• Why the infrastructure edge of large multi manager platforms is falling in cost
• Where AI helps a quant team and where tech debt breaks it
• Stress testing a research pipeline with synthetic data and injected signal
• Bracketing volume and slippage when you only have bar data
• Asset class specialty versus method specialty as prediction markets widen
• World models, feedback driven learning, and what that could mean for markets

Connect With Us

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Merlijne Keuss joins The Sophron® Network for a practitioner-level hour on what it actually takes to get a real business settling on a regulated stablecoin.

Her first job in any client conversation is not selling. It is working out whether a compliant euro or dollar token improves anything at all, and a fair amount of the time the honest answer is that it does not.

Merlijne Keuss is a Business Development Manager at Quantoz, the Utrecht-based fintech and Dutch electronic money institution behind EURQ and USDQ, the MiCAR-compliant stablecoins supervised by De Nederlandsche Bank. She develops use cases, finds strategic partners, represents the firm at industry events, and works with clients from payment companies to real-world businesses worldwide.

Before Quantoz she spent three years in business development at AssetCare, in the New Funds team specialising in fund setup and fund services. She holds a Master in Financial Econometrics and a Bachelor in Econometrics from the University of Amsterdam.

We start with what developing a use case really means: mapping how a client moves money today, and what they are genuinely paying in FX margins, settlement fees and monthly charges that nobody has fully added up. The worked example is the live TerraPay flow from Europe to Ethiopia, where EURQ provides the regulated euro settlement leg over Xahau, Cooperative Bank of Oromia pays out in local currency, expensive pre-funded positions disappear, and every existing licence and compliance framework stays exactly where it was.

From there we test the pitch. Cost is almost never what makes a business switch; settlement speed, counterparty risk and increasingly yield are. Regulation rarely wins a deal on its own, and MiCAR is a set of commercial constraints before it is an edge, which is why what you are really selling is trust. Roughly 99% of circulating stablecoin supply is dollar denominated, and inside SEPA a euro stablecoin has no problem to solve.

We also discuss agentic and programmable payments, whether the chain matters to the businesses using it, treasury interoperability, accounting treatment as cash, and where adoption breaks open first: containers held in port until money lands, end of day settlement in oil and energy trading, and small remittances where 12 euro of SWIFT fees on a 20 euro payment simply does not work.

LinkedIn: https://www.linkedin.com/in/merlijne-keuss-998a0a1ba/
Quantoz: https://www.quantoz.com

• What developing a stablecoin use case involves, week to week
• The TerraPay remittance flow, Europe to Ethiopia, settled on Xahau
• Settlement speed, counterparty risk and yield as the real switching drivers
• On-chain alternatives to money market funds, without DeFi risk
• Dollar dominance in stablecoin supply, and what shifts it
• MiCAR as a commercial constraint, and selling trust rather than compliance
• Treasury interoperability and stablecoins accounted for as cash

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Martijn Bron joins The Sophron® Network to describe what physical commodity trading actually consists of, and how little of it resembles the version visible from outside.

We start with a cocoa futures market that ran for years with no position limits and no delivery limits, where squeezes and corners were part of the furniture, and work through what it takes to hedge a global processing business inside a market like that.

Martijn Bron is a commodity trading, risk and recruitment specialist, independent since 2023. He works as a headhunter in the commodity industry through his own practice, Maverack Talent Experts, consults for clients including Keystone, co-hosts the Strong Source commodity podcast with Vesper founder Alexander Sterk, and writes Vesper's bi-weekly cocoa market reports.

Before going independent he spent 26 years at Cargill, seven of them as Global Head of Trading for Cargill Cocoa & Chocolate, a business of roughly 3,500 people. He joined in Amsterdam in 1997, traded European grains and oilseeds in Geneva, moved to cocoa in 2006, and spent around ten years on the exchange body governing the cocoa contract under LIFFE and later ICE.

We examine merchandising, the part of the business almost never described properly: trading around an asset, where the decision is whether to run a factory, slow it down, or buy someone else's production. We look at why the price on the screen is a given and the job is the analysis before it, and why the purpose of price in commodities is to prevent a structural deficit or surplus.

The conversation then turns to origin, following the crop from a farm in rural West Africa to the port and every way it can go wrong on the road, and to his argument that climate change is being used as a scapegoat for years of absent replanting and mismanaged tree stock. We close on the market as it stands now, and his advice to anyone speculating: think about what is your edge, not a hedge.

LinkedIn: https://www.linkedin.com/in/martijn-bron-77a4224/

https://www.amsterdaminvestmentclub.com/publications?id=ApWWx49UOD1QQ1hmFnWm&collection=The%20Sophron%20Network

00:00 - Welcome and introductions
04:13 - Which commodity you start with, and why it does not matter
09:34 - Cocoa as the Wild West: squeezes, corners, no position limits
10:31 - Ten years on the exchange advisory body
20:47 - Merchandising: trading around a factory
23:51 - Where the money sits: basis, supply and demand, deep analysis
28:40 - Why what gets called trading online is not trading
30:07 - Confirmation bias mistaken for conviction
40:26 - Cargill, Citadel, Optiver: three different business models
45:56 - Turning an earnings call straight into a supply and demand balance
49:24 - Why cocoa went up four times before the shelf price moved
52:31 - Climate change as a scapegoat
1:02:26 - El Niño, and a market moving six percent a day
1:08:24 - Edge, not hedge

• Physical commodity trading and merchandising around assets
• Hedging, basis, correlation and the Texas hedge
• Exchange governance, squeezes and position limits
• Origin risk in Ghana and Ivory Coast
• AI applied to fundamental research
• The cocoa rally, the demand shock and the shelf price lag

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Raj Shah joins The Sophron® Network to correct the way most people frame options: not as levered stock trades, but as risk transfer contracts.

Cboe created the listed options market in 1973. Raj is a Senior Instructor in its education division, The Options Institute. We use his correction as the way into how an options trade physically moves through the market, what the data actually says about 0DTE, and where options innovation goes next.

Raj Shah is a Senior Strategy Associate and Senior Instructor with The Options Institute at Cboe Global Markets, the exchange group's educational arm. His work centres on breaking the mechanics of derivatives down to their component parts for investors, and he also oversees the team's education expansion into Europe. He has traded options personally for around eight years.

We start with the mission of the Options Institute, which Raj frames as increasing investor IQ across asset classes, and his insistence that accessible means clear and structured rather than easy. From there: the three main reasons anyone uses options, a worked covered call showing what risk transfer actually is, and his argument that business schools open with pricing formulas when the real world risk lives in market structure, clearing and margin.

The middle of the episode is a full walk through of an SPX trade, from the buy button to settlement. We then turn to 0DTE, where Raj explains that it is not a new instrument at all, and gives the numbers behind its growth from Cboe's Derivatives Market Intelligence research. We close on product governance at Cboe, what digital asset markets could take from fifty years of listed derivatives, and why prices are outputs of the market rather than the reason markets exist.

LinkedIn

00:00 - Welcome and introductions
03:33 - The mission of the Options Institute
06:38 - The three reasons people use options
07:14 - The biggest misconception about options
07:57 - Risk transfer explained with a covered call
11:57 - What business schools get wrong
16:19 - Building blocks: definitions first, then the math
19:18 - What happens after you hit buy on an SPX option
25:05 - The central limit order book, and mark to market
27:47 - What 0DTE options actually are
29:43 - From roughly 20% to roughly 60% of total SPX volume
31:32 - Why anyone trades an option that expires today
35:17 - Gamma, and why 0DTE moves the way it does
37:20 - Who is actually trading 0DTE
40:58 - What comes after 0DTE
46:46 - When Cboe decides not to launch a product
50:17 - What digital asset markets could take from TradFi
55:07 - Prices are outputs, not the reason markets exist

The Options Institute Learning Portal

Cboe Derivatives Market Intelligence

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Imran Lakha joins The Sophron® Network to discuss what it takes to run an index options book at institutional size, and what changed when he left the bank to trade his own.

We go through the 2008 volatility regime from the seat, why skew rather than gamma was the trade that made the money, and the risk that quietly kills short skew desks when the market stops behaving. We then move to the market he trades today: 0DTE dominance, dealer gamma, dispersion at single digit correlation, and how he decides when a volatility spike is worth fading.

Imran Lakha is the founder of Options Insight, the London based options education and market research business he started in 2018, where he teaches traders and asset managers to express market views and manage risk through options, and where he trades a US options book of his own.

Before founding it he spent seven months as a portfolio manager at BlueCrest Capital Management. He joined Citi in 2013, trading European index options and going on to head the desk before leaving in 2017. Earlier, at Bank of America Merrill Lynch, he traded the European index flow options book and took it over in 2009. He began his career in 2001 at Credit Suisse First Boston, taking over the FTSE vanilla flow book and trading global relative value, variance swaps and dispersion.

We cover the flow book that could not be hedged in its own market, the two ways to be bearish in 2008, and why several desk heads were annihilated when skew switched from sticky delta to sticky strike. Imran sets out the mistakes he sees most in retail option books, the three structural changes he has watched since the early 2000s, and his three VIX regimes with the one week rule that follows from them.

LinkedIn: https://www.linkedin.com/in/imran-lakha-465b4558/
Website: https://options-insight.com

https://www.amsterdaminvestmentclub.com/publications?id=XDjh1yTU1keJpD4eQ6Lb&collection=The%20Sophron%20Network

00:00 - Welcome and introduction
04:20 - The 2008 book: hedging FTSE size with Eurostoxx
05:18 - Why skew, not gamma, made the money
06:45 - A million a day of theta, or a neutral book
11:03 - Sticky delta, sticky strike, and how short skew blows up
16:54 - 0DTE, dealer gamma, and reading the gamma wall
22:33 - Pay caps, and being told to stop making money
30:13 - The mistakes retail option traders repeat
38:19 - Retail, 0DTE and dispersion: three structural changes
41:41 - The three VIX regimes and the one week rule
47:28 - The mining basket hedged with free FTSE puts
51:24 - Options Insight and the free masterclass

• Running an index flow options book at size
• Skew as a position you can hold, gamma as one you cannot
• Sticky delta versus sticky strike, and short skew blow ups
• 0DTE, dealer gamma maps and the gamma wall
• Dispersion and the collapse in index correlation
• The three VIX regimes and volatility clustering
• Bank floor versus hedge fund seat
• Common mistakes in retail option books

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