Quantitative analysis
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
SEC plans ‘pose reverse-engineering threat to quant funds’
Managers say proposed disclosure rules would lead to less efficient markets
Quant Finance Master’s Guide 2023
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Baruch topples Princeton in Risk.net’s quant master’s rankings
US schools cement top five dominance as graduate salaries soar
The haves and the ‘have bots’: can AI give vol forecasters an edge?
Firms look to machine learning and natural language processing to gain advantage over peers
AI models point to recession, but quants won’t trade on them
Predicting the odds of a recession, and how markets will respond, is still a step too far for machines
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
The rise of non-financial risks
Naeem Siddiqi, senior adviser, risk management, risk research and quantitative solutions at SAS, discusses the effectiveness of stress-testing as a risk management tool in rapidly changing markets, the role of new technologies in developing robust data…
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Deep hedging pioneer Hans Buehler quits JP Morgan
Former global head of equities analytics will be joining XTX Markets
Super backwardation trips up commodity carry trade
Wrong type of curve derails quants’ commodity carry trade for worst spell in decades
Surging Vix would turbocharge Blackstone Credit strategy
Unique high-yield systematic strategy has outperformed equivalent ETF by 18% over five years
Bookstaber: past performance is no guide to future risks
Veteran risk chief says trading gains in wake of LTCM’s demise forged love of agent-based modelling
Buy-side quants of the year: Matthew Dixon and Igor Halperin
Risk Awards 2022: New machine learning tool tackles an age-old, old age problem
Is it worth doing a quant master’s degree?
UBS’s Gordon Lee – veteran quant and grad student supervisor – asks the hard question
Starting salaries jump for top quant grads
Quant Guide 2022: Goldman’s move to pay postgrads more is pushing up incomes, says programme director
Market reversals trigger losses for intraday quant strategy
Equity trend strategies designed to hedge against market drops have suffered in recent turmoil
Quant Finance Master’s Guide 2022
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
Buy side turns to extreme value theory to spot tail risks
Asset managers reappraise decades-old technique to gauge downside risks amid fears of volatile 2022
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
McLaughlin departs London Stock Exchange Group
Former CRO and head of financial risk left the group in October