Equities
SEC streamlines overhaul of stock trading rules
Tick size and access fee rules simplified from first draft, but Peirce still questions rationale
Nvidia is growing up. It’s not settling down
Chip maker is a mega cap that doesn’t act like one
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Fresh EU push for single securities supervisor to compete with US
But MEP expresses “concern” EU nations will stall revival of capital markets union
Tracking toxicity in fast and complex markets
A novel means of tracking toxicity in high-frequency equity markets is put forward and demonstrated to adequately track flash crashes.
JSCC’s initial margin soared as Japan’s stock market hit record high
Higher demand for exchange-traded products pushed requirements up in Q1
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
The squeezing middle: data shows Europeans taking on US foes
Dealer Rankings 2024: Barclays, BNP Paribas and Deutsche grab bigger share of the pie
Hwang trial exposes flaws in verbal information handling
Court shown discrepancies in audio and email records; Credit Suisse insider says “fair amount” of intel slipped through cracks
FX alternative risk premia as a key diversifier for equity bond portfolios
Siddharth Grover, head of QIS structuring at BBVA, discusses how the BBVA FX Risk Premia Indices can aid investors seeking diversification, and provides insight into potential trends moving forward
Execs can game sentiment engines, but can they fool LLMs?
Quants are firing up large language models to cut through corporate blather
Victor Haghani’s maths proof that stock-pickers will hate
‘Risk matters hypothesis’ extends Bogle’s case for passive investing
Euronext microwave link aims to cut HFT advantage in Europe
Exchange plans to level playing field between prop firms and banks in cash equities with cutting edge tech
LCH UK units experience diverging IM requirements
EquityClear and RepoClear drop by half while SwapClear hits record high
Decades of history says you can beat high inflation with quality
Factors such as momentum and value generally outperform the market irrespective of inflation, but new research suggests quality stocks are best when prices are rising rapidly
Investors say new SEC disclosures may sit on shelf
Advisory committee questions value of rule 605 changes, even for retail investors
Euro area funds’ debt securities surged 13% in 2023
Investments vis-a-vis euro area issuers rebound after 2022 slump, driven by bond funds
How China’s equities intervention caused a quant fund quake
Popular leveraged market-neutral trade crumbled after government stepped in to support major indexes in February
Ken Pang set to join Millennium as Asia equities head
Former Credit Suisse markets co-head joins hedge fund’s Hong Kong office
As T+1 looms, non-US firms consider out-of-hours trading
Pruned settlement cycle forces foreign buy-siders to explore automating the FX leg of securities trades
‘Brace, brace’: quants say soft landing is unlikely
Investors should prepare for sticky inflation and volatile asset prices as central banks grapple with turning rates cycle
Clearing members sour further on cash for IM collateral
Sovereign bonds remain preferred choice at top CCPs in Q3
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price