Inflation-fuelled stock rotations are full of complexity
This paper investigates the dynamic spillover between crude oil, natural gas and the stock markets in Brazil, Russia, India, China and South Africa (BRICS).
The authors suggest an innovative method based in econophysics that provides early warning signs for major declines in the S&P 500 Index
Counterparty Radar: Market contracted by $3.9 billion as US managers decreased sold calls
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
Dmitry Pugachevsky, director of research at Quantifi, provides an overview of the burgeoning convertible bond market, including approaches to modelling and its outlook in the current inflationary environment
Long-established inverse correlation between asset classes breaks down during first quarter
Technical indicator selection and trading signal forecasting: varying input window length and forecast horizon for the Pakistan Stock Exchange
This paper investigates how input window length and forecast horizon affect the predictive performance of a trading signal prediction system.
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.
Around 100 programmes hang in the balance after BNY Mellon resigns as depository bank for VTB
Risk Awards 2022: ‘Meme factor’ and sturdy systems helped Ken Griffin’s firm cope with huge volumes – and post record revenues
US equity reversal on January 24 has spawned many theories, but no solid answers
Counterparty Radar: Microsoft was top underlying in latest filings, with notionals also up for Amazon and Meta
Counterparty Radar: Filings show managers adding more than $5.5 billion of puts in Q3, setting new high
Test for fractional degree stochastic dominance with applications to stock preferences for China and the United States
This paper develops the test statistics for fractional degree stochastic dominance and introduces a bootstrap method for determining the critical values of the tests.
Forecasting stock market volatility: an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
This paper proposes an extension of the classical CARR model, the ACARR-MIDAS model, to model volatility and capture the volatility asymmetry as well as volatility persistence.
StanChart analytics head joins Lopez de Prado at Abu Dhabi Investment Authority
After spotting FX arbitrage opportunities, new tech faces real-world test in Japanese stocks
Deference to US disclosures stopped Baidu’s Hong Kong listing shining a spotlight on Archegos
The authors' findings affirm prior work illustrating the importance of profitability, size, liquidity, momentum and market returns, although we observe minimal evidence of the importance of investment in capital expenditures.
Quant team’s options-based approach avoids pitfalls of historical data dependence
Market participants fear a “horrible” relocation project and more room for latency arbitrage
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
FCA gives London dark pools an edge over EU rivals, but will fund managers use it?