Risk Awards 2021: hybrid protocol jumpstarts electronification of options block trading
Investors that rolled futures contracts before companies axed AGMs “could have lost a lot of money”
A popular relative value strategy delivered unexpected profits when companies axed payouts
December 20 contracts drop 39% in March
This paper provides practical recommendations for the validation of risk models under the Targeted Review of Internal Models (TRIM).
Risk Awards 2020: New equity index contracts most successful launch in exchange’s history
Risk Awards 2020: Success of futurisation project powers bourse to global top spot
The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
Volumes of derivatives linked to China A-shares fall 83%
Rich pickings are available but market fundamentals differ from Europe and the US
'Madness of crowds' psychology governs investment policy
New equity options on two exchanges
Skirting the tax
PSE chief Hans Sicat views cross-border partnerships as vital for development of Asean exchanges, although domestic regulation creates some obstacles
Delta-one desks say their arbitrage business has been cut back – contributing to an unprecedented collapse in implied equity index repo rates. Inventory pressures created by bank regulation are being blamed. Matt Cameron reports