Quantitative finance
WHAT IS THIS? Quantitative finance is a field of applied mathematics concerned with financial markets. In banking, it spread from the pricing of derivatives to the modelling of credit, market and operational risks. Today’s quantitative analysts are scattered across a range of functions, from risk management and model validation, to data science, algorithmic trading and regulatory compliance.
Profile: Quant boss touts benefits of tech team merger
TD Securities says combining teams has allowed rapid rollout of platform for risk and P&L management
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
Analyse this: the future for quants
Quant headcount is up on pre-crisis levels, but jobs in front-office functions have been decimated
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
The quant factory: not muppets, but not perfect
Universities offering quant master’s programmes must adapt to stay relevant, writes UBS’s Gordon Lee
Modal patterns in market data stump Morgan Stanley quants
New research suggests algo traders are changing the market microstructure
Growth in factor investing renews crowding fears
Single-factor ETFs could pose threat to quantitative equity market neutral strategies
Robo-traders and robo-labour
Banks and buy-siders are starting to harvest the benefits of machine learning beyond the front office
Quant funds plan to ‘skip the day’ after French election
Some model-driven investors see signs of crowding in short volatility trades
Quants turn to machine learning to model market impact
JP Morgan, Bloomberg and Portware among those applying AI to long-standing problem
Mifid, machine learning and swaps compression
The week on Risk.net, March 10–16, 2017
A not-so-secret recipe for success: Beacon's cloud-based quant platform
Sponsored Q&A: Beacon
Quant jobs at risk from tech advances
But humans and 'intelligent' computers a strong combination, hedge fund managers say
HAL to pay: where hedge funds think AI can really work
Some funds using artificial intelligence already; others see obstacles to its success
Senior quant Green swaps Lloyds for Scotiabank
Green to lead development of new XVA pricing model at Canadian lender
Algorithmic execution: Harnessing technology to manage risk
Sponsored feature: HSBC
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
South African banks may pool quants to tackle FRTB
Senior trader fears banks don't have quant resources to meet FRTB deadline
Quant of the year: Alexandre Antonov
Numerix quant revolutionises negative rates modelling
Quant Ideas: market-making, risk and information in commodities
High volatility and noisy data sets have profound implications on risk management in commodity markets
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
Quant ideas: Strategic versus tactical risk management
The susceptibility of enterprise risk tools to poor quality data is a major issue
Quant fund approaches need refining in China market
Rich pickings are available but market fundamentals differ from Europe and the US