The author evaluates the usefulness of bias-correction methods in enhancing the Vasicek model for market risk and counterparty risk management practices.
Risk Awards 2021: optimal trading solution was inspired by concept used in nuclear cooling
New pricer for options with time-dependent barrier shown to be computationally efficient and stable
Market bounce-back blindsided quant investment firm – and others
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
New business models have upset a common metric in the quant strategy
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.
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Research on how long trends last could help avoid fallout from drawdowns like February’s
This paper proposes a new risk-based regime-switching model for stock prices to examine the impact of operational risk events on stock prices.
This paper models the evolution of the oil price as a mean-reverting regime-switching jump–diffusion process.
The authors of this paper study the calibration of futures contracts on temperature indexes.
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.
CTA Campbell & Company’s Prism portfolio of non-trend strategies has generated strong returns since it launched as a standalone investment in April
13th Annual European Single Manager Awards 2013
Market reaction to price changes and fat-tailed returns
An introduction to energy spot price processes
Valuation of spread commodity structures in co-integrated futures 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…