An attention-based deep learning model for trading is presented
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
The authors examine the All-Weather portfolio in relation to other popular portfolios and investigate the impact of various static and dynamic portfolio-rebalancing strategies on the All-Weather portfolio.
Dispersion in returns makes for ‘double alpha’
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for developed and emerging markets from 2010 up until 2020.
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
Risk Awards 2022: Commodities long shot pays off for trend follower
This study explores banks’ internal credit risk estimates and the associated banksourced transition matrixes.
This paper present a novel systematic commodity trading model utilizing a time series momentum strategy.
This paper not only provides a theoretical model for the value-at-risk of active and passive trading strategies but also discusses the substantial implications relevant to risk management.
An online webinar hosted by Tradeweb and convened by Asia Risk explores the importance of directives and timings being clearly laid out by regulators in the transition away from Libor
Research head Tabachnik says strategies like intraday momentum are victims of their own popularity
Investors should switch between factors as alphas change, says quant
The authors employ portfolio analysis to explore whether energy is a fundamental economic factor affecting cryptocurrency prices.
Riding trends in equity markets is proving to be a risky pastime for quant investors
Options and ETFs give tech index new momentum, while S&P 500 sees higher levels of mean reversion
Uncertainty and strategy design meant November 9 rally fell short of covering momentum crash
Many value stocks stayed flat on November 9 vaccine news, says factor investing expert
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Political journalist Robert Peston has grave concerns over the future of Britain, seeing profound risks with or without Brexit
Equity momentum and value strategies are cancelling each other out, buy-siders say
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…