Articles by Rob Mannix
Language barrier: quants slog to teach investing bots to read
Training models to interpret text can be dull; doing it badly can be costly
New breed of NLP model learns finance better, study finds
Models trained by looking at sentences beat conventional approaches that contextualise words
EU’s new carbon-scoring metric bedevils investors
Buy-side risk survey 2021: Evic could have harmful consequences for green investing
Stock-level ‘inelasticity’ explains ESG boom, research says
Reluctance of ESG investors to sell holdings is pushing prices even higher
‘Signatures’ promise quants a tool for all jobs
Little-known mathematical technique could find applications from pricing options to sniffing out alpha signals
A quant’s view on protecting stock-pickers from themselves
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
Don’t fret about elevated skew, vol experts say
Extreme relative cost of tail risk hedging is driven by flows more than fear
This quant firm cut 90% of its compute costs. Here’s how
Quantbot Technologies uses ‘smart data routing’ to stop runaway spending on data and computing
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
Quants turn to machine learning to unlock private data
Replication could allow financial firms to use – and monetise – data that was previously off-limits
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