Quants stymied by lack of alternative risk premia flows data

Data shortage on alternative risk premia strategies is hampering efforts to model futures market liquidity shocks

A lack of reliable data is complicating futures market modelling efforts

The rising popularity of alternative risk premia strategies is complicating efforts to model liquidity risk in futures markets.

Quants at London-based hedge fund manager Man AHL are trying to predict the extent to which market events such as interest rate hikes or the reversal of central banks’ quantitative easing programmes will affect futures liquidity over different time periods.

But a lack of reliable data on derivatives-based alternative risk premia strategies has put a spanner in the

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