Articles by Rob Mannix
Market’s mystery jumps might be predictable after all
Endogenous volatility has a tell-tale pattern, quants find
Hedge funds not doing enough to fix mispricings, study finds
Passive investing has blunted market efficiency, but hedge funds are failing to capitalise
Investment flow tracking is next ‘frontier’ for alpha
Risk Live: Flows impact asset prices more than widely believed and may be more predictable – quants
Dispersion trades are back after losing big in 2020
Bets on single-stock versus index volatility are “incredibly attractive by historical standards”
Acadian builds ‘green screen’ to auto-filter ESG phoneys
$110 billion quant investor creates automated system to spot greenwashers
Fake data can help backtesters, up to a point
Synthetic data made with machine learning will struggle to capture the caprice of financial markets
In fake data, quants see a fix for backtesting
Traditionally quants have learnt to pick data apart. Soon they might spend more time making it up
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
Going it alone: Lombard Odier steers clear of investing crowd
Research head Tabachnik says strategies like intraday momentum are victims of their own popularity
Inelastic markets: how index funds fuelled the meme stock frenzy
Retail traders can dictate prices in markets dominated by passive investors
Amundi puts a Darwinian spin on bond portfolio rebalancing
‘Genetic’ algorithm picks bonds to buy or sell from quadrillions of possible combinations
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
AQR quant on the network effects behind GameStop frenzy
New model captures how ‘fanatical’ investors can influence asset prices
Deep hedging strays when volatility gets rough – study
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
Seismology models sound out safe ground for DG Partners
Quake technology helps quant firm time entry and exit points – and buck trend-following trend
Quants pitch strategies for when bonds no longer work
Investors are flocking to alternative diversifiers of equity risk
Quants say they can fix value’s broken ratio
Price-to-book metric can be tailored to the new economy, researchers believe
The hidden effects of stress on risk takers
Trader turned neuroscientist urges financial firms to monitor trader physiology, hire fewer physicists
Quants find new ways to identify inventive companies
Novel uses of patent and other data could help tell trailblazers from phonies
Trend followers fall under speeding equity markets
Riding trends in equity markets is proving to be a risky pastime for quant investors
Why value’s vaccine rally left investors disappointed
Uncertainty and strategy design meant November 9 rally fell short of covering momentum crash
Quants worry inflation risks could sink stocks
Research from ex-BoE official Sushil Wadhwani shows stocks may struggle when inflation is high
Aaron Brown: to learn how to handle a crisis, create one
Scenario analysis still isn’t taken seriously; it should be, says AQR’s former risk chief
One man’s trash is another man’s Treasury
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis