Articles by Rob Mannix
Be careful what you’re paid for
Pinning down the illiquidity premium in private credit is no easy task
Quants look to language models to predict market impact
Oxford-Man Institute says LLM-type engine that ‘reads’ order-book messages could help improve execution
Why agency mortgages could stay cheap for a while
Big bond managers are snapping up agency bonds, but disrupted valuations could last a surprisingly long time
‘Witching day’ price spikes point to options market manipulation – study
Data reveals patterns that can be explained no other way, researchers say
Diversification is even better than a free lunch – study
Data back to 1926 shows that spreading bets brings higher returns as well as lower risk
Inflationary cloud has silver lining for some quant strategies
Research finds certain factors may perform better than previously realised when prices rise
Boaz versus BlackRock: the fight over closed-end funds
Saba founder says he never planned to be an activist investor. Now he’s battling BlackRock – again
‘Guys far more experienced than me didn’t really know what risk was’
A flawed understanding of risk has made markets fragile, says Convex Strategies CIO David Dredge
Saba picks a fight with BlackRock over closed-end funds
Hedge fund kicks off new proxy campaign with letters citing ‘gruesome’ losses
A student of Dr Doom says QE is here to stay
Salomon alumni Michael Howell says central banks can’t stop pumping liquidity
In bank runs and market crashes, it matters how ideas ‘catch’
Contagion episodes show importance of network effects in finance
‘Spectacular’ vol disconnect ‘ominous’ for risk assets
Historic divergence has caught the eye of Boaz Weinstein and others
Smart beta pioneer looks to shake up cap-weighted indexes
Rob Arnott says investors can easily avoid hidden costs of traditional indexes
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
Inflationary forces (and microbial soups)
The hold of central banks over inflation may be weaker than we thought
How UBS AM is stress-testing for liquidity risk
Policy shifts in Japan, China among scenarios under review at Swiss asset manager
When markets offer lemons, Lynx makes lemonade
Swedish asset manager has had bumper year with trend-following platform tailored for troubled times
Citi quants’ AI model aims to hedge earnings surprises
Machine learning tool forecasts effect of shocks on implied volatility surfaces in minutes
Gamma zero: an overlooked signal of volatility is flashing red
Markets are most erratic when option hedging exposures are flat
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
Are decentralised exchanges the future for trading?
Success of blockchain venues has implications even beyond crypto
Terrance Odean on the $2.8bn catch in zero-commission trading
Berkeley professor’s research on the true cost of retail trading has caught the eye of regulators
It’s amateur hour: how retail traders upended options market
Cutting-edge data shows non-professionals are driven by news events and desire to make a quick buck
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity