Stock market
Euronext microwave link aims to cut HFT advantage in Europe
Exchange plans to level playing field between prop firms and banks in cash equities with cutting edge tech
An empirical study of the contrarian strategy against US equities in the Japanese market
This paper investigates the contrarian strategy against US equities, finding that for samples where the previous day's daily return on the S&P 500 is positive (negative), the next day's intraday returns on Japanese stock-index futures will be the inverse…
What have we learned from 20 million historical US stock data?
The author offers a statistical characterization of the US stock market from January 3, 1995 to June 11, 2021.
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
An optimal control strategy for execution of large stock orders using long short-term memory networks
Using a general power law in the Almgren and Chriss model and real data, the authors simulate the execution of a large stock order with an appropriately trained LSTM network.
Chinese snowball revenues melt away
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach
The author uses the marginal expected shortfall method alongside the Beta-skew-t-exponential generalized autoregressive conditional heteroscedasticity-extreme value theory model and the CoVaR model to investigate risk spillover between the crude oil…
Franklin Templeton takes single-stock options top spot
Counterparty Radar: Market for US mutual funds and ETFs expanded by $4 billion in Q3
Dynamic signal selection strategies
The authors use eight models of pairwise dependency to select predictors that offer a high level of dependency in stock returns.
Forecasting the realized volatility of stock markets with financial stress
This paper investigates the impact of financial stress on the predictability of the realized volatility of five stock markets
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
Dynamic spillover between the crude oil, natural gas and BRICS stock markets
This paper investigates the dynamic spillover between crude oil, natural gas and the stock markets in Brazil, Russia, India, China and South Africa (BRICS).
Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines
The authors suggest an innovative method based in econophysics that provides early warning signs for major declines in the S&P 500 Index
Mutual funds dialled up bullish bets with stock options in Q1
Counterparty Radar: Market contracted by $3.9 billion as US managers decreased sold calls
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
What drives the convertible bond market?
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
Stocks and bonds start to move in step, making quants jittery
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.
Abnormal returns and stock price movements: some evidence from developed and emerging markets
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.
Russia GDRs face extinction on sanctions and market closures
Around 100 programmes hang in the balance after BNY Mellon resigns as depository bank for VTB
Flow market-maker of the year: Citadel Securities
Risk Awards 2022: ‘Meme factor’ and sturdy systems helped Ken Griffin’s firm cope with huge volumes – and post record revenues