Arbitrage
Oxford quantum start-up to offer high-speed arb trading in NYC
OQC to select data centre for super-fast computing in September 2025, plans to launch in 2028
Quant of the year: Julien Guyon
Risk Awards 2025: Volatility modeller par excellence (and football fan) achieved breakthrough with joint calibration of S&P and Vix options
For US Treasury troubles, treat the cause not the symptom
Regulatory alarm about hidden risk in the Treasury futures market misses the point, fund association execs write
The signs of tacit collusion in the dividend play trade
Game theory and real-world data point to a different understanding of how arbitrage in markets works
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
Are cryptocurrencies cryptic or a source of arbitrage? A genetic algorithm approach
The authors identify triangular arbitrage trading opportunities through genetic algorithms in order to find insights into the volatility of cryptocurrencies and stablecoins with the largest market cap.
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
On the potential of arbitrage trading on the German intraday power market
The authors compare ex post arbitrage trading with pair-trading on the German intraday power market and how each method may be optimised.
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Obtaining arbitrage-free FX implied volatility by variational inference
An ML-based algorithm that provides implied volatilities from bid-ask prices is proposed
Boaz versus BlackRock: the fight over closed-end funds
Saba founder says he never planned to be an activist investor. Now he’s battling BlackRock – again
Locational arbitrage strategies for Shanghai crude futures
The authors investigate crude oil futures introduced on the Shanghai International Energy Exchange in March 2018 and the locational trading strategies they can provide and put forward an example of locational arbitrage hedged against foreign risk.
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
EU snub to clearing carve-out hurts optimisation efforts
Forcing firms to clear risk-reducing trades would squeeze collateral and potentially hike liquidity risk, dealers warn