Investments
Optimising broker evaluation through intraday modelling of execution cost
A method to assess brokers’ performance via their market impact is presented
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Quantum two-sample test for investment strategies
Quantum algorithms display high discriminatory power in the classification of probability distributions
Choosing trading strategies using importance sampling
The sampling technique is more efficient than A-B testing at comparing decision rules
Quantum cognition machine learning: financial forecasting
A new paradigm for training machine learning algorithms based on quantum cognition is presented
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
Fat tails and optimal LDI portfolios
A portfolio optimisation technique for pension funds and insurance portfolios is presented
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
Asset allocation with inverse reinforcement learning
Using reinforcement learning to help replicate asset managers' allocation strategy
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented