Investment strategies
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
Identity verification solutions 2023: market and vendor landscape
This report analyses the current identity verification solutions landscape and examines the key market trends, regulatory drivers and vendor strategies shaping it
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing
The authors investigate the link between noninvestors and financial returns using data from a social media platform.
Keep risk parity simple, stupid
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
Deal of the year: Societe Generale
Asia Risk Awards 2022
A novel derivation and interpretation of the Kelly criterion
The authors apply an information-theoretical argument to a Bernoulli process to find least biased investment strategy consistent with expected exponential growth.
‘Corrective’ algo tells quant firm when it’s wrong
QTS has built a machine to show whether a strategy is likely to succeed or flop
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
This study analyzes whether reinvesting payouts in exchange-traded funds that replicate broad and internationally diversified market indexes enhances households’ portfolio performance after transaction costs.
Op risk data: Deutsche greenwashing fine a regulatory red flag
Also: Class claim costs CA tribe $500m; Essilor eyeballs JPM in fraud case; Bank of Italy con job. Data by ORX News
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Buy-side quants of the year: Matthew Dixon and Igor Halperin
Risk Awards 2022: New machine learning tool tackles an age-old, old age problem
Adia wealth fund is building supergroup of quant investing
Abu Dhabi Investment Authority wants to turn systematic investing into a ‘good science’
Performance attribution for multifactorial equity portfolios
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
A practitioner’s view of the long-term and recent performance of multifactor investment strategies
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.
Market reversals trigger losses for intraday quant strategy
Equity trend strategies designed to hedge against market drops have suffered in recent turmoil
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Bank-run fund derivatives platforms hit records
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
Strong-hand conjecture: agent-based numerical simulation
Following the example of the Kim–Markowitz model, this study adopts similar mechanisms of market operation to perform computer simulations based on agent modeling on the financial market, where shares of one company and a bank account are available …
Margin matters – A smarter approach to margin risk
Michael Hollingsworth, head of financial risk analytics in the Data and Access Solutions division at Cboe Global Markets, reveals how trading firms are calculating margin in real time to manage pre- and post-trade risk and end-of-day clearing-house…
Corporate equity performance and changes in firm characteristics
The authors' findings affirm prior work illustrating the importance of profitability, size, liquidity, momentum and market returns, although we observe minimal evidence of the importance of investment in capital expenditures.
What drives the January seasonality in the illiquidity premium? Evidence from international stock markets
This study is, to the best of the authors’ knowledge, the first attempt to comprehensively examine and explain the January effect in the illiquidity premium.
Uncertain risk parity
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
Quant investing in cluster portfolios
This paper discusses portfolio construction for investing in N given assets, eg, constituents of the Dow Jones Industrial Average (DJIA) or large cap stocks, based on partitioning the investment universe into clusters.