Using blockchain should drastically speed up post-trade settlement
The four papers in this issue are devoted to analyzing the design and performance of portfolio optimization methodologies, the construction of trend-following strategies, and multi-asset indexing solutions.
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Derivatives market pioneers co-opt bitcoin tech in bid to transform mainstream markets
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Using cryptography to validate transactions may transform finance
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design
Counting the cost
Mean reversion pays, but costs
BP’s Gulf of Mexico oil spill forces risk managers to look at long-term margin costs and soaring oil prices post-2012
Can a firm cut costs while increasing operational risk controls? This is just one of the many challenges facing the investment industry.