Stock market
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
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
BlackRock is biggest US fund user of single-stock options
Counterparty Radar: Microsoft was top underlying in latest filings, with notionals also up for Amazon and Meta
US funds piled on index hedges ahead of stock selloff
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.
Market-maker of the year: Haitong International
Asia Risk Awards 2021