Buy-side quant says Brexit a ‘test’ of new AI

Natural language processing can give “more insight” into possible market shudders, says Simonian

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The UK’s planned exit from the European Union could be a rare chance for quants to test how their machine learning models react to one-off political events.

Quants have traditionally been wary of trading around volatile, paradigm-shifting events that have few historical parallels. During the French elections last year, uncertainty over a possible victory for nationalist politician Marine Le Pen bamboozled so many quant models that some managers chose to turn them off completely.

But for the

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Asset-liability management: Special report 2023

There is nothing new about the dynamics behind the ALM banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these old threats have been given…

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