Stock market
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
Abu Dhabi fund lures top quants for burgeoning team
StanChart analytics head joins Lopez de Prado at Abu Dhabi Investment Authority
Quantum kit offers HFTs ‘100-fold’ speed boost
After spotting FX arbitrage opportunities, new tech faces real-world test in Japanese stocks
Archegos raises questions about Hong Kong listing rules
Deference to US disclosures stopped Baidu’s Hong Kong listing shining a spotlight on Archegos
Corporate equity performance and changes in firm characteristics
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.
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
All roads lead to Bergamo: Euronext eyes new home for its tech
Market participants fear a “horrible” relocation project and more room for latency arbitrage
Options pricing framework buckles under GameStop frenzy
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
UK offers unlimited dark trading on lost EU stocks
FCA gives London dark pools an edge over EU rivals, but will fund managers use it?
Trend followers fall under speeding equity markets
Riding trends in equity markets is proving to be a risky pastime for quant investors
Strangle to resuscitate: evidence from India
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.
Monetary policy uncertainty and jumps in advanced equity markets
The authors analyze the role of monetary policy uncertainty in predicting jumps in nine advanced equity markets.
One man’s trash is another man’s Treasury
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
SFC’s Alder looks to shake up liquidity rules post-Covid
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
TSE outage throws structured notes into tailspin
Trading shutdown on October 1 disrupted observation dates for some structured products
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Optimal weights and hedge ratio behavior in Brent oil and Islamic Gulf stock markets
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.
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous