Quant investing
Investing is often seen as a blend of art and science, but the past decade has seen rapid growth in strategies that try to exclude the former entirely, instead seeking sources of return that are a provable feature of a market. These scientific investors are generally poorly served by mainstream finance publications.
Our aim is to cover, in plain English, the ideas and trends that matter. That means articles on research – into new sources of premia and shifting market behaviours, for example – as well as products and strategy. We also report on the related topics of data science, and trends in the use of artificial intelligence and machine learning.
Technical content can be found in our ‘Cutting Edge’ section, where we publish practitioner-focused, peer-reviewed papers.
Why a top quant wants to be wrong about markets
Former Pimco quant Rebonato sees weak returns, inflation and sovereign debt troubles ahead
Quant investors turn to raw data over ratings in ESG alpha hunt
Firms are using data on product returns and employee welfare to pick winners
How adaptive models got AlphaSimplex through the Covid crisis
System sped up moves out of stocks into commodities and bonds
Applying the scientific method to investing
The new field of experimental finance goes beyond backtesting
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
The scientists probing the human mind for an investing edge
Recent advances in behavioural finance could give rise to new quant models and strategies
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Quant firm deploys new metric for Covid sensitivity
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Doyne Farmer’s next big adventure: capturing the universe
Quant fund pioneer plans to build an economic super-simulator on a global scale
Cross-border investing boosts contagion risk, study finds
More countries now capable of triggering a wider crisis
R-nought is the wrong number for markets, academics say
New research suggests volatility of transmission matters more for asset prices
Negative Vix premium signals vol spikes, research finds
Unusual pattern seen in Covid crash could help volatility sellers avoid future reversals
Quants puzzle over how to handle negative oil prices
Firms are choosing to cut ‘outlier’ prices from data or to rely more on fundamental inputs
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
Alt risk premia chasing 'tail beta' – again
Quant strategies that failed in the coronavirus crash face a reckoning
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
Some quants fear more deleveraging to come
Buy-siders brace for further selling after hedge funds dumped risk in March
Quants pitch in to improve pandemic models
The finance industry’s quants are trying their hand at modelling the virus and its economic impact
Covid-19 tumult is testing AI fund returns
Some ML strategies have coped well, but others began to struggle as panic mounted
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
To handle Covid-19 we need better data
Winton’s David Harding says unconscious bias in test data means epidemic is poorly understood
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist