Research
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
How Citi moved GenAI from firm-wide ban to internal roll-out
Bank adopted three specific inward-facing use cases with a unified framework behind them
SG looks beyond equity derivatives in new markets push
French bank aims to expand fixed income business to achieve “more stable” revenues across asset mix
Neil Chriss sets out to codify the game theory of trading
The co-author of the benchmark Almgren-Chriss model has updated his thinking on market impact
The curious case of the revealing orders
Oxford academics have found evidence pointing to collusion on a European exchange, but market-makers aren’t wholly convinced
ETRM systems 2024: market update and vendor landscape
This Chartis report evaluates energy trading and risk management systems that provide front-to-back, asset class-specific and geography-specific coverage, and considers the full energy trade lifecycle
People: Masters moves into FNZ, Two Sigma founders step back, and more
Latest job changes across the industry
Communications surveillance solutions 2024: market update
A report offering Chartis’ latest view of the vendor landscape for communications surveillance solutions
Chartis RiskTech AI 50 2024
A Chartis report exploring the landscape of artificial intelligence and its adoption in the financial services
Hedge fund’s bots hunt for ‘non-linear’ trade signals
Boutique investment firm Goose Hollow uses LLMs to scrape thousands of news sources, searching for links that others miss
Execs can game sentiment engines, but can they fool LLMs?
Quants are firing up large language models to cut through corporate blather
Vendor spotlight: Dixtior AML transaction monitoring solutions
The Chartis Research report, AML transaction monitoring solutions, considers how, by working together, financial institutions, vendors and regulators can create more effective anti-money laundering (AML) systems.
Quarter-ends add $184bn to FX swap costs, study finds
Academics observe 36% increase in bid/ask spreads in short-tenor liquid currency pairs at quarter-end
From ‘glut effects’ to ‘greedflation’: the factors shaping derivatives markets in 2024
Societe Generale and Risk.net held the ninth edition of their annual flagship Derivatives Conference in the iconic SG Towers at La Défense. Usually hosted in London, the event was co-sponsored by the CME Group and took place in Paris for the first time,…
Prop traders call for new rules on pre-close briefings
Price swings after private meetings alarm PTFs, but Esma gives regulators no ‘specific guidance’
Can machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
S&P Global Market Intelligence RatingsDirect® leverages AI for more precise insights in volatile markets
Zoi Fletcher speaks to Clemens Thym, S&P Global Market Intelligence, about how his team is enhancing RatingsDirect® with AI and adding value with ratings research
Calibrating interest rate curves for a new era
Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…
Goldman’s Marquee is a gradual revelation
Multiple apps are being corralled into a sticky cross-asset ecosystem, updated with Python and cloud
AI in sheep’s clothing? Wolfe Research develops finance chatbot
Bot is trained in financial and ESG data, but won’t replace humans – yet – says firm
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023