Model calibration gains efficiency by including biased but adjusted trading data
A causal machine learning algorithm is used to estimate trades’ price impact
The authors investigate the performance of energy exchange-traded funds between January 2000 and August 2022, finding a relatively high degree of correlation with the performance of US and global equities.
Fixed income markets are entering a new era of turbulence. This paper outlines the challenges facing asset managers in this macro environment and how to overcome them through high-quality data and cutting-edge analytical tools that uncover alpha and…
Risk officers, managers and quants at leading buy-side firms are experimenting with ESG as an ‘alpha enhancement’ to day-to-day risk management, to stay ahead of the pack and boost profit-and-loss margins
QTS has built a machine to show whether a strategy is likely to succeed or flop
A novel optimal execution approach via continuous-time stochastic processes is introduced
Training models to interpret text can be dull; doing it badly can be costly
Scale helps in handling new data, but alpha may be found in niche strategies
Investors should switch between factors as alphas change, says quant
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
A measure for crowding in trades is derived from supply and demand imbalances
Jason Waight at MarketAxess reveals how advances in data and technology are enabling faster, more agile risk-on trading strategies in today’s fixed income markets
Asia Risk Awards 2020
Crisis puts out-of-vogue practice of “porting” alpha back in play
A recent Risk.net webinar in association with Refinitiv examined the opportunities and challenges for using historical tick data in today’s volatile markets. Panellists outlined the variety of ways the industry is harnessing historical tick data, but…
Duality’s CEO discusses key to machine learning success, and the influence of Renaissance’s Jim Simons
System sped up moves out of stocks into commodities and bonds
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Many contend you must be able to interpret machine learning in order to use it
AI hedge fund CEO sees the light in black-box technology
This paper finds that a zero-investment strategy that goes long (short) in the highest (lowest) quintiles of firm-specific risk earns overall positive excess returns across twenty-one emerging markets.
Robert Furdak is sparking discussions about responsible trend following in unsustainable stocks