Alpay Kaya

Alpay Kaya, CFA, entered Finance over a decade ago, and his experience in algorithmic trading R&D spans asset classes and financial instruments. The former Head of FX/Rates Research at the proprietary trading unit of Koch Industries, his strategies (long/short Equities, FX options, & Rates futures) have performed consistently well in live trading at asset values in excess of 100 million USD. His research currently focuses on discrepancies between abstraction and prevailing analytical techniques, which may employ unrealistic assumptions so as to achieve superficially 'elegant' solutions. With an educational background in Control Systems/Applied Math, his research on robust optimal control with applications to aviation has been published in professional journals and conference proceedings. Alpay Kaya, Chartered Financial Analyst, holds Engineering degrees from the University of Akron and the University of California at Berkeley. He was drawn to the investing sector because it connects math and human behavior.

His book "Leveraged ETFs" is a comprehensive exposition on the mathematics of this misunderstood class of financial instruments. The price action of leveraged ETFs differs greatly from that of standard ETFs, and the generic explanation 'compounding' means nothing. As the first publication to properly define the value decay of LETFs, this text expands upon earlier academic research, which could only describe decay by example and evaluate it by process of elimination. The more recent "Value in Volatility" is a simplified take on the same topic, filling a heretofore ignored need in the finance publication space. . . that of a practitioner's guide based on sound mathematics.