Trader turned neuroscientist urges financial firms to monitor trader physiology, hire fewer physicists
Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences
The authors use a power-log utility optimization algorithm based on a behavioral model of investor preferences, along with either a call or a put option overlay, to reverse the negative skewness of monthly Standard & Poor’s 500 (S&P 500) index returns…
Does the source of information influence depositors’ withdrawal intentions during operational events?
The objective of this paper is to identify whether depositors’ intentions to withdraw funds during operational risk events differ based on the source of information.
Economic policy uncertainty, investors’ attention and US real estate investment trusts’ herding behaviors
Using a quantile regression model, this study examines economic policy uncertainty and investors’ attention for policy risk on US real estate investment trusts’ (REITs’) herding behaviors.
The week on Risk.net, June 27–July 3, 2020
Recent advances in behavioural finance could give rise to new quant models and strategies
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
This paper proposed a nonparametric approach to decompose a macroeconomic variable into an interest-rate-correlated component and a macro-specific component.
In this paper, the authors show the connection between equities and foreign exchange markets via this window, they leverage this connection using an algorithmic trading strategy and rank various statistical techniques used to make predictions for trading…
Human decision-making needs careful watching. For that, behavioural science can help
Course director discusses machine learning explainability and reclaiming game theory from economists
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
In this paper, the authors present a robust method for the detection of chaos based on the Lyapunov exponent, which is consistent even for noisy and finite scalar time series.
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Upturn in performance creates chance of “fundamental factor timing”, analyst says
Risk30 profile: “People think we’re crazy,” says giant fund’s co-CEO of its unique approach to op risk
By comparing the Libor and FX benchmark manipulation scandals, this paper describes how misbehavior emerged independently in both of these markets and the conditions that permitted the misconduct to survive and thrive.
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
Libor-rigging and similar misconduct across multiple firms may be the result of 'macro-cultures'
This paper investigates the causes of the quality anomaly by exploring two potential explanations - the “risk view” and the “behavioral view”.
Economists, risk managers and traders must learn the lessons of crisis, says Kaminski
Risk managers should be aware of unconscious flaws in estimation
Funds fall victim to IPO hype and behavioural biases affecting traders
Common psychological traps at the root of risk
Risk managers urged to focus on group dynamics