Mean reversion
Bias-corrected estimators for the Vasicek model: an application in risk measure estimation
The author evaluates the usefulness of bias-correction methods in enhancing the Vasicek model for market risk and counterparty risk management practices.
Buy-side quant of the year: Alex Lipton and Marcos Lopez de Prado
Risk Awards 2021: optimal trading solution was inspired by concept used in nuclear cooling
Semi-closed-form prices of barrier options in the Hull-White model
New pricer for options with time-dependent barrier shown to be computationally efficient and stable
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
A closed-form solution for optimal mean-reverting strategies
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
How Amazon and Netflix disrupted value investing
New business models have upset a common metric in the quant strategy
Does international stock index arbitrage exist?
This study investigates international stock index arbitrage opportunities between seven blue-chip indexes in Asian, European and US time zones over a twenty-year time horizon.
Black was right: price is within a factor 2 of value
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Market mean reversion takes longer than expected – CFM quants
Research on how long trends last could help avoid fallout from drawdowns like February’s
An operational risk-based regime-switching model for stock prices
This paper proposes a new risk-based regime-switching model for stock prices to examine the impact of operational risk events on stock prices.
Optimal oil production under mean-reverting Lévy models with regime switching
This paper models the evolution of the oil price as a mean-reverting regime-switching jump–diffusion process.
Calibration of temperature futures by changing the mean reversion
The authors of this paper study the calibration of futures contracts on temperature indexes.
Pricing options on trend-stationary currencies: applications to the Chinese yuan
This paper derives a closed-form version of a model with a trend-stationary, stochastic volatility exchange rate, using both a linear and quadratic trend.
No increased possibility of 2014 equity correction
Unpredictable equity
Campbell opens non-trend programs to investors
CTA Campbell & Company’s Prism portfolio of non-trend strategies has generated strong returns since it launched as a standalone investment in April
Old Mutual Global Statistical Arbitrage Fund: Old Mutual Global Investors
13th Annual European Single Manager Awards 2013
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Analysing common processes used to model energy prices
An introduction to energy spot price processes
Cutting edge: Valuation of spread commodity structures
Valuation of spread commodity structures in co-integrated futures markets
Cutting edge – multi-scale volatility in commodity markets
This paper deals with volatility estimation in commodity markets. Piotr Grzywacz and Krzysztof Wolyniec note that energy commodities have many time (volatility) scales, which has dramatic implications for mean-reversion and volatility estimation. They…