Arbitrage
One-week-ahead electricity price forecasting using weather forecasts, and its application to arbitrage in the forward market: an empirical study of the Japan Electric Power Exchange
This paper constructs a model using weekly weather forecasts for forecasting week-ahead average electricity prices and applies it to an arbitrage strategy in the forward market.
Impact of changes in the global environment on price differentials between the US crude oil spot markets for the periods before and after 2008–9
This paper uses threshold cointegration to examine price differentials between crude oil spot markets in the US for the periods before (2000–2007) and after (2010–17) the advent of major technological and other changes impacting the oil sector.
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
Quantum kit offers HFTs ‘100-fold’ speed boost
After spotting FX arbitrage opportunities, new tech faces real-world test in Japanese stocks
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Italian job: the real UK stock trading heist
Italy has not been seen as a candidate to pick up business from the UK – until now
All roads lead to Bergamo: Euronext eyes new home for its tech
Market participants fear a “horrible” relocation project and more room for latency arbitrage
A new arbitrage-free parametric volatility surface
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
The SABR forward smile
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
US Treasury market holds its breath after high drama
Intermediation broke down after off-the-run bonds were dumped on banks
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
Hong Kong warrants: this time it’s different
With their rise in popularity, warrant issuers must be on their guard at all times
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Warrants issuers battle algo predators in Hong Kong
Threat of high-frequency traders forces banks to spend big on tech
The fair basis
Wujiang Lou remodels credit arbitrage by introducing funding and capital costs
US branches of foreign banks shed $91 billion of reserves in 2018
Drop-off coincides with Fed’s ‘normalisation’ strategy
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
US banks boost sales of CDS, reversing two-year trend
BofA Securities increased CDS notionals the most, adding $30.3 billion to its portfolio
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Base metals house of the year, Asia: BOCI
Energy Risk Asia awards, 2018: Chinese expertise enables BOCI to attract base metals business in Asia and beyond
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes