Quantitative analysis
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
China regulation: the path clears slowly
Co-ordination among Chinese regulators has improved, but new data law shows continued tensions
EU’s new carbon-scoring metric bedevils investors
Buy-side risk survey 2021: Evic could have harmful consequences for green investing
Lack of quants dims chance of structured product boom in China
Quants in high demand as banks explore new products, and local rules call for onshore specialists
Podcast: Antonov on pricing not-so-vanilla rates products
New model makes it easier to coherently price correlated derivatives
A quant’s view on protecting stock-pickers from themselves
Ex-Citadel, Millennium risk manager says fundamental investors have much still to improve
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
Abu Dhabi fund lures top quants for burgeoning team
StanChart analytics head joins Lopez de Prado at Abu Dhabi Investment Authority
AI helps one investor screen targets against UN ethical goals
PanAgora develops two-stage process that aims to weed out the greenwashers
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
Show your workings: lenders push to demystify AI models
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
How algos are helping inflation-wary investors
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios