Equities
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
Python – Is the buzz justified?
Python is rapidly becoming the world’s most popular programming language and its versatility and ease of use has enabled it to achieve widespread adoption in finance, becoming the multipurpose tool of choice for quantitative analysts and other financial…
Global bank equity dips $230 billion in Q2
UK banks post the largest dollar declines
EU derivatives market adds €55 trillion in 2017
Interest rate products account for 69% of gross notionals
Hong Kong ETFs spotlighted amid growing A-share interest
Hong Kong’s exchange-traded fund market takes centre stage in international investors’ foray into Chinese markets, experts say. By Hong Kong Exchanges and Clearing (HKEX)
NSCC posts $137m margin breach
Securities CCP records largest margin shortfall since public disclosures began
Black was right: price is within a factor 2 of value
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Skin in the game
This paper analyzes the cost of putting aside capital as skin in the game (SITG).
Global bank equity levels returned to growth in Q1
Bank equity level increased by $87 billion in the first quarter
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
House of the year, Korea: Hana Financial Investment
Asia Risk Awards 2018
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
CCAR ‘apocalypse’ leads to excess bank capital, says lobbyist
Head of new trade body says Fed should average capital requirements over multiple scenarios
BV–VPIN: Measuring the impact of order flow toxicity and liquidity on international equity markets
The authors analyze the impact of different values of the VBS and sample size applied as inputs in a BV–VPIN model based on the US market in order to ascertain the optimal criteria for application across all other countries in our data set.
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU insurers shun ABS, real estate
Securitisations make up just 0.5% of portfolios; property 2.7%
Global banking sector equity surged in 2017
Surplus of assets over liabilities increased 17% in the year – BIS data
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
China A-shares: traders want access to onshore funding
Inclusion in MSCI will drive CNH squeeze unless CNY market is opened or settlement extended
Risk-return dominance of US ‘big five’ a myth, data shows
US stock markets less exposed to a ‘Gafam factor’ than assumed, says La Française Investment Solutions