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R-nought is the wrong number for markets, academics say
New research suggests volatility of transmission matters more for asset prices
Choppy markets revive quest for RFQ’s ‘magic number’
Deutsche argues for smaller, stronger panels; Citi offers better prices for 'full amount' trades
At height of Covid crisis, eurozone MMFs scrambled for cash
MMFs hold the bulk of eurozone banks’ commercial paper
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Quotes
On the FX side, Ion is looking to create a similar monopoly to the one it has in fixed income
Source on the leadership team at a systems vendor
Using venue-based automation immediately limits your ability to interact with a fragmented market trading across multiple pools. This leaves the user vulnerable to sudden market moves, flash crashes and gaming by more advanced participants.
Medan Gabbay, Quod Financial
If you can anticipate the moment when the distribution of the epidemic will start to reduce, while there is still a lot of fear among the general public, that would be the time to buy
Francesco Landolfi, Epiphany
Editor's Choice
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
Big Figure
Crude's wild ride
Hedge funds and commodity futures traders built up long positions on WTI futures in the week to April 21, the day after prices for the front-month contract dropped to -$38.10 a barrel. Data from the Commodity Futures Trading Commission shows participants labelled “money managers”, a category that covers commodity trading advisers, commodity pool operators and hedge funds, were long 324,667 contracts on April 21, the most since January 7 and almost 10% up on the week prior.
Read the full article7 days in 60 seconds
Climate charges, CCP contagion and the post-Libor world
The week on Risk.net, May 23-29, 2020
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Negative oil prices put spotlight on investors
When are index delays justified? Industry standards are vital
Our Take
Libor deadlines – the dominoes start to fall
Full stream ahead for bonds