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?
Riding trends in equity markets is proving to be a risky pastime for quant investors
This study examines the performance of two strangle strategies at different legs to find the best strategy for consistent profit generation when trading on the Indian stock market index Nifty.
The authors analyze the role of monetary policy uncertainty in predicting jumps in nine advanced equity markets.
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
Trading shutdown on October 1 disrupted observation dates for some structured products
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Crisis puts out-of-vogue practice of “porting” alpha back in play
This paper examines the dynamics and spillover behavior between time-varying optimal weights and hedge ratios in order to analyze optimal volatility allocation spillover and characteristic structure.
Equity-debt correlation breakdown and negative bond yields make investors nervous
Buy-siders brace for further selling after hedge funds dumped risk in March
Some ML strategies have coped well, but others began to struggle as panic mounted
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
Losses put at roughly $150m – even before markets tanked on March 9
In total, US G-Sibs spend 28% more on own shares in 2019 than previous year
In this paper, the authors examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.