Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
Quants are embracing the idea of ‘model free’ pricing and hedging
Quant says a new machine learning technique could change the way banks hedge derivatives
The latest online early paper in our special issue on blockchain enabled energy markets
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
This paper discusses and derives the extremum of the expectation of permanent impact and realized impact by constructing several special trading trajectories in the Chinese market.
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Risk Awards 2018: Cost analysis service set to expand into rates next year, after transforming forex
MSCI’s historical real-time data could be used in backtesting strategies, pricing exotic options
This paper considers the problem of European option pricing in the presence of a proportional transaction cost when the price of the underlying follows a jump–diffusion process.
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.
Internal liquidity aggregator helps cut credit trading costs
Using blockchain should drastically speed up post-trade settlement
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Derivatives market pioneers co-opt bitcoin tech in bid to transform mainstream markets
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Using cryptography to validate transactions may transform finance
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design