Articles by Faye Kilburn
Why vol markets shrugged off Nvidia rout
Gamma, autocalls and stock dispersion helped prevent a broader market meltdown
Housing price diffusion study offers lessons for quants – Bouchaud
Patterns seen in how heat spreads also show up in markets, research shows
Calpers adds machine learning specialist Simonian
Champion of using AI and game theory in investing risk management joins US public fund
Risk.net’s top 10 investment risks for 2025
Fresh concerns this year include a trade war, a stock market crash and growing social discord
Acadian model detects gaps between climate goals and reality
Quant shop builds tool for net-zero alignment assessment, using NLP and Bayesian models
Robeco fires up AI thematic ETF
Firm’s large language models pick themes, categorise stocks, and choose winners and losers
Anacapa’s rapid-fire options strategy hits the target
Investment firm’s novel take on volatility selling avoided big drawdowns in 2020 and 2022
Man Group airs climate allocation tool for real-world decarbonisation
Compass is a guide for steering $200 trillion investment toward decarbonising high-emission industries
Should trend followers lower their horizons?
August’s volatility blip benefited hedge funds that use short-term trend signals
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
AB’s faith in ‘magnificent others’ starts to pay off
Talking heads: Hybrid quant and fundamental approach proves its mettle as mega-cap magic begins to tarnish
Pre-market trades blamed for record Vix surge
Traders rushed to cover short vol positions before the market opened on August 5
Can history resolve factor investors’ p-hacking questions?
Quants seek reassurance in the far distant past
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Quants see promise in DeBerta’s untangled reading
Improved language models are able to grasp context better
Collapse of correlation fails to stem zeal for dispersion
New analysis suggests immensely popular relative value strategy may have more upside
OCC readies new intraday margin requirement
Draft measure would cover all options positions including 0DTEs
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
OCC introduces new intraday risk charge covering zero-day options
Revised measures “a nightmare” to implement, says one broker-dealer
How Jupiter times factors in uncertain markets
Asset manager is seeking to avoid momentum and value drawdowns
Execs can game sentiment engines, but can they fool LLMs?
Quants are firing up large language models to cut through corporate blather
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility