Articles by Sebastian Day
Quant analyst Antonov to swap Numerix for Standard Chartered
New role in London only second for Numerix veteran
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
Flash crash early warning tool launched
Start-up seeks to commercialise controversial VPIN measure
Bloomberg testing use of image recognition in volatility trading
Computers could be used to spot kinks in volatility surfaces
Why Robert Almgren no longer trades using Almgren-Chriss
Co-author of popular model says market nuances are critical in optimal execution
Academic shines light on data mining in alternative beta
Sharpe ratios on complex products fall 73% compared with backtests
Robo-traders and robo-labour
Banks and buy-siders are starting to harvest the benefits of machine learning beyond the front office
Quants turn to machine learning to model market impact
JP Morgan, Bloomberg and Portware among those applying AI to long-standing problem
‘Seminal’ paper tackles fault in fixed-income hedging
Challenge of hedging local and global risks solved with ‘flylets’ approach
Degree of influence, 2016: capital matters
Capital, liquidity and XVAs are still the core of quantitative research in banking
Lloyds' CVA head exits for JP Morgan
Julian Keenan leads Asia credit portfolio trading at the US bank
Senior quant Green swaps Lloyds for Scotiabank
Green to lead development of new XVA pricing model at Canadian lender