Mean reversion
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…
Mean reversion pays, but costs
Mean reversion pays, but costs
Cross-asset correlations pose opportunities - and threats
Opportunities and threats
A two-factor mean-reverting model
Commodity markets exhibit multi-factor behaviour as well as mean reversion. Building upon their previous paper, David Beaglehole and Alain Chebanier conclude the current Masterclass series by developing a two-factor mean-reverting model for crude oil…
Mean-reverting smiles
Commodity markets such as crude oil exhibit mean reversion as well as option smiles. The authors construct a model suitable for pricing exotic options in these markets
Volatility swaps made simple
Volatility