Views
Setting boundaries for neural networks
Quants unveil new technique for controlling extrapolation by neural networks
Random matrix theory provides a clue to correlation dynamics
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
Degree of influence: volatility shakes markets and quant finance
Volatility and machine learning were among the top research areas for quants this year
A step closer to the perfect volatility model
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Breaking barriers in options pricing
A new technique for pricing exotic options unifies two classic models
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Danske quants discover speedier way to crunch XVAs
Differential machine learning produces results “thousands of times faster and with similar accuracy”
Quants are key to judicious ESG
Meaningful data analysis critical to future of socially responsible investing, writes Antonia Lim
Don’t blame HFT: plug liquidity gaps for market stability
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
To make sense of complex systems, send in the agents
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
Mind the tax when hedging TRS
New model gauges whether deals are still profitable, after taxes
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
Solving the enigma of the volatility smiles
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
What quants can learn from the Covid crisis
More nowcasting, less backtesting, and strategies that adapt to new regimes: a manifesto from Lipton and López de Prado
Three adjustments in calibrating models with neural networks
New research addresses fundamental issues with ANN approximation of pricing models
Outsmarting counterparty risk with smart contracts
A digital transaction system developed by quants at DZ Bank could slash margin costs for derivatives
No silver bullet for AI explainability
No single approach to interpreting a neural network’s outputs is perfect, so it’s better to use them all
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
Degree of influence: Regulatory policies drive quantitative research
Counterparty risk and market risk hold centre stage, data science moves up, quantum computing debuts
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
Quants bring ‘triptych’ of variables to risk measurement
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests