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From pink tickets to Python: Toby Baker on 40 years in FX
T Rowe Price’s departing FX head reflects on the pain points and keys to success for a modern buy-side trading desk
Iran selloff wipes out dispersion profits
Popular indexes down 5% in March, despite low realised correlation; some short bets see gains
What futures and options say about the cost of war
Spot prices reveal major disruption, futures indicate this will pass, options imply ongoing instability
Inflation shock upends Aussie dollar rates flatteners
Hedge funds’ front-end curve trades stopped out as Iran conflict drove RBA terminal rate pricing higher
Hedge funds retreat to sidelines in euro steepeners
Rate hike repricing and stop-losses have gutted positioning in once-dominant 10s30s bet
Featured
A Hormuz tipping point may be days away
Agent-based model suggests delays and shortages likely to accelerate after four weeks
Ellington spinout hopes to ease whole-loan investing
Data hurdles have frustrated insurers as they look to increase allocations
After market whipsaws, banks put new twist on QIS options
Variable strike options aim to catch recoveries after volatility spikes
Polytechnique’s Lehalle on bottleneck models and Hormuz closure
Iran conflict raises a now-familiar problem, says quant: how to predict which goods go where
New LLMs are proving to be surprisingly good quants
Strides in AI’s ability to do maths mean models can plausibly help with research
Artificial Intelligence
Rates investors unmoved by stories of AI bliss, or doom
Research shows downward moves in US Treasury yields around generative AI model releases
Quants use AI to shush noisy order-book data
Signals from clusters of seemingly informed trading perform better, researchers say
Why know-it-all LLMs make second-rate forecasters
A bevy of experiments suggests LLMs are ill-suited for time-series forecasting
Academic warns of systemic risk from AI-powered trading
Strategies generated by LLMs exhibit “very strange, correlated trading behaviour”, says Lopez Lira
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Two fund managers behind surge in ETF options
Counterparty Radar: New data shows notional for the instrument rivals that of equity index options
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