Mean reversion
A new approach to detecting change in credit quality
The author presents a new, computationally simple framework for quantifying and detecting changes in established companies' corporate credit quality.
Is factor momentum greater than stock momentum?
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
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