The authors explore the effects of market capitalization on the dynamics of cryptocurrencies within both returns and volatility networks and show that these cryptocurrencies exhibit scaling properties in volatility with respect to market capitalization.
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
A solution for a no-arbitrage condition in Cheyette-style models is proposed
Volatility and machine learning were among the top research areas for quants this year
The authors analyze the role of monetary policy uncertainty in predicting jumps in nine advanced equity markets.
Better calibration would cut equity options exposures in half, research finds
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
Polls point to a decisive Biden win – though some worry market is being complacent
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
While stock volatility is boosting inline warrant turnover, it’s driving bets more suited to wholesale products
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
A new diversification measure appears to produce better results than mean-variance optimisation
New diversification measure enables construction of equally diversified portfolios
Market bounce-back blindsided quant investment firm – and others
This paper examines the relationship between portfolio size and the stability of mutual fund risk measures, presenting evidence for economies of scale in risk management.
Terminating Libor will bring great challenges to the pricing of non-linear rate products
Stressed VAR also surged as the bank switched stress periods
Buy-side risk survey: Covid-19 is changing the way investors think about stress tests
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods