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Nasdaq retail rush powers intraday momentum trade
Options and ETFs give tech index new momentum, while S&P 500 sees higher levels of mean reversion
Why central banks aren’t worried about FX algos – for now
Disclosure failings feed into FX code; other issues are worrying, but distant, says SNB’s Maechler
A step closer to the perfect volatility model
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Latest
Quotes
The starting point is a good one because Esma’s acknowledged that there is a desire within parts of the industry to see a more robust transparency framework
Adam Jacobs-Dean, Alternative Investment Management Association
There’s really no downside to scenario analysis unless it causes you to do something that harms you, and that’s pretty rare
Aaron Brown, formerly of AQR
When you look at the volume on the private bank business [in autocalls] it is a multiple compared to last year. It’s a very, very big shift for investors
Cross-asset sales head at a US bank in Hong Kong
Editor's Choice
The buy side and Libor: it’s decision time
Investors weigh pros and cons of signing newly released Isda fallback protocol, as Libor demise looms
Big Figure
Liquidity on tap
Europe’s markets watchdog has said policymakers should act to improve funds’ access to liquidity management tools (LMTs), so they’re better prepared to withstand future shocks. In a report issued on November 13, the European Securities and Markets Authority said few funds have access to a variety of LMTs, which are used to ease redemption pressures and militate against fire sales.
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SA-CCR, SOFR lending and model approval
The week on Risk.net, November 21-27, 2020
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The value rally that never was
Strengthening supervisory co-operation in derivatives markets
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