More nowcasting, less backtesting, and strategies that adapt to new regimes: a manifesto from Lipton and López de Prado
Short interest of asset managers down 80% on 12-month peak
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Quant firm predicts big revival for out-of-favour strategy
Net gains on trading activities up 75% on Q3 2018
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
In this paper, the authors discuss the various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted returns and losses of trading strategy.
The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
In the 1990s, banks tried to buy automated trading expertise; now, after a long break, they’re trying to build it
As banks get serious about e-trading, humans are being asked to give up their secrets to the machines that could replace them
In this paper, the fractional trading ansatz of money management, also called growth optimal trading, is reconsidered. Special attention is paid to the chance and risk parts of the goal function for the related optimization problem.
In this paper, two new portfolio statistics are introduced: ENT, which measures trading speed, and ENTD, which measures trading diversity. Together with vectors representing major trading directions, these provide new insight into the intrinsic…
Gordon Ritter applies reinforcement learning to dynamic trading strategies with market impact
An uncertainty quantification framework for the achievability of backtesting results of trading strategies
In this paper, the authors propose a framework for implementing and backtesting trading strategies.
Quants develop method to include both market impact and limit orders in optimal trade execution
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Prediction of arbitrage-free option prices that outperform existing models
The last few years have seen several high profile criminal and civil cases over the theft of intellectual property from financial institutions. Legal battles, however, are extremely complex and expensive, so firms need to ensure they have adequate…