Risk Awards 2021: new research tackles ‘fundamental’ but largely ignored smart order routing problem
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
We find that the buy-and-hold (B&H) strategy for the S&P 500 index (^GSPC) for January 1950–April 2019 had a significantly higher return than that produced by time series momentum (TSM). However, TSM was superior in terms of the Sharpe ratio due to its…
Bank’s US securities arm conducted trades worth $639 billion over 12 months to end-March 2020
It is hoped that this paper will form a foundational approach to the study of dynamic strategies and how to optimize them. We make efforts to understand their properties without claiming to understand why they work (ie, why there are stable…
TriOptima explains how it combines the reduction of gross notional exposure and the conversion of net risk exposure to deliver outsized results, partnering its portfolio compression network with core net ICE Libor over-the-counter swap portfolios
This paper challenges widely applied trading indicators with regard to their ability to generate a robust performance.
Top quants discuss collaboration and their worries about the economic recovery
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
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