A causal machine learning algorithm is used to estimate trades’ price impact
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
Asia Risk Awards 2022
The authors apply an information-theoretical argument to a Bernoulli process to find least biased investment strategy consistent with expected exponential growth.
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.
Also: Class claim costs CA tribe $500m; Essilor eyeballs JPM in fraud case; Bank of Italy con job. Data by ORX News
Record returns in March give little comfort that strategy is ‘back’
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Risk Awards 2022: New machine learning tool tackles an age-old, old age problem
Abu Dhabi Investment Authority wants to turn systematic investing into a ‘good science’
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.
Equity trend strategies designed to hedge against market drops have suffered in recent turmoil
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
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 …
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…
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.
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.