Housing price diffusion study offers lessons for quants – Bouchaud
Patterns seen in how heat spreads also show up in markets, research shows
What do housing price changes and heat hold in common? Both tend to spread across space and time in a similar manner, according to new research from Jean-Philippe Bouchaud, head of $16 billion quantitative hedge fund Capital Fund Management (CFM).
The links with hedge fund investing might seem tenuous. But Bouchaud says the research offers valuable lessons about how markets truly function that
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investing
AI trained on fundamentals says which stocks will crash in sync
Neural net models correlations without a returns history and could improve stress testing
Options vanna positioning echoes 2024 vol spike, banks warn
Extreme negative position could exacerbate vol response in US equity selloff
Big investors turn to off-exchange prediction markets
Millions of OTC event contracts are being traded monthly, with individual deals as big as $10 million
Perps extend the menu to tempt TradFi diners
Expiry-less futures are spreading from bitcoin into gold, equities and FX. Institutions are watching, not buying
Basis trade loses its bite as banks move in
Returns on popular hedge fund strategy dwindle to as little as three basis points, while dealers make use of softened capital rules to replicate the trade
US housing law delivers good news for insurers
Congress added curbs to institutional property ownership; insurers are more interested in the underlying loans
New CLO charges for insurers miss tail risks, critics say
Revisions to US capital rules underestimate correlations within loan pools and across CLO portfolios, some argue
MBS convexity hedging: back with a vengeance, or ghost story?
More bonds now sit with active hedgers but market is split on whether flows can move US rates again
