Articles by Faye Kilburn
Cross-sectional stock volatility lifts value factor
Dispersion in returns makes for ‘double alpha’
Ukraine war exposes risks in ‘naive’ ESG investing
Quants say funds have underperformed and will not aid transition to net zero
Role of the dice: how Susquehanna puts game theory to work
One of the world’s largest options traders uses game theory – and poker practice – to get results
How to hone NLP’s detection skills: a cue from a super-sleuth
With a sharper focus, AI readers could help detect hidden exposures for investors
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
AI models point to recession, but quants won’t trade on them
Predicting the odds of a recession, and how markets will respond, is still a step too far for machines
‘Corrective’ algo tells quant firm when it’s wrong
QTS has built a machine to show whether a strategy is likely to succeed or flop
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
Correlation ‘is not causation’ for rates and value stocks
Some quants remain unconvinced by the ‘great rotation’ away from growth
Hedging inflation may never have been trickier
Effective hedging depends on what’s causing prices to rise
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
Machines say: ‘Ignore the spread in merger arb’
Closely watched arbitrage spread poor predictor of a merger deal’s success, quant firm finds
Quant funds tackle chronic overfitting in crypto strategies
Firms adapt backtests and tread lightly to address “huge” overfitting risk, magnified by scarce data
Two Sigma building quant tools to hunt real estate bargains
Information-rich market offers “trillions of dollars of opportunity”, says data chief
AI helps one investor screen targets against UN ethical goals
PanAgora develops two-stage process that aims to weed out the greenwashers
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
How algos are helping inflation-wary investors
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios
Not so green machine? Questioning commodities’ credentials
As ESG investors eye commodities, issues around measurement and management are unearthed
Quant fund aims to tame bitcoin, and 39 other digital assets
Ex-Morgan Stanley, Winton vets reimagine institutional risk management for volatile crypto markets
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
Investor crowds have blunted nowcasting returns, quants say
Buy-siders see shrunken returns in predicting near-term earnings
Factor woes prove need for better timing – QuantZ’s Sharma
Investors should switch between factors as alphas change, says quant
Bonds fall from favour as shock absorbers for equity losses
Ultra-low rates force investors to rethink role of fixed income as diversifier