Firms hone use of new data to pick Covid-19’s winners
Managers are using alternative data to assess the pandemic’s effect on individual stocks
View ArticleHow adaptive models got AlphaSimplex through the Covid crisis
System sped up moves out of stocks into commodities and bonds
View ArticleFor a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
View ArticleVol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
View ArticleFund managers seek to plug holes in ESG data
Social intel proves elusive as virus reawakens sense of corporate virtue
View ArticleModel misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
View ArticleBonds fall from favour as shock absorbers for equity losses
Ultra-low rates force investors to rethink role of fixed income as diversifier
View ArticleFactor woes prove need for better timing – QuantZ’s Sharma
Investors should switch between factors as alphas change, says quant
View ArticleInvestor crowds have blunted nowcasting returns, quants say
Buy-siders see shrunken returns in predicting near-term earnings
View ArticleIs short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
View ArticleQuant fund aims to tame bitcoin, and 39 other digital assets
Ex-Morgan Stanley, Winton vets reimagine institutional risk management for volatile crypto markets
View ArticleNot so green machine? Questioning commodities’ credentials
As ESG investors eye commodities, issues around measurement and management are unearthed
View ArticleHow algos are helping inflation-wary investors
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios
View ArticleClunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
View ArticleAI helps one investor screen targets against UN ethical goals
PanAgora develops two-stage process that aims to weed out the greenwashers
View ArticleTwo Sigma building quant tools to hunt real estate bargains
Information-rich market offers “trillions of dollars of opportunity”, says data chief
View ArticleQuant funds tackle chronic overfitting in crypto strategies
Firms adapt backtests and tread lightly to address “huge” overfitting risk, magnified by scarce data
View ArticleMachines say: ‘Ignore the spread in merger arb’
Closely watched arbitrage spread poor predictor of a merger deal’s success, quant firm finds
View ArticleStocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
View ArticleHedging inflation may never have been trickier
Effective hedging depends on what’s causing prices to rise
View ArticleCorrelation ‘is not causation’ for rates and value stocks
Some quants remain unconvinced by the ‘great rotation’ away from growth
View Article‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
View Article‘Corrective’ algo tells quant firm when it’s wrong
QTS has built a machine to show whether a strategy is likely to succeed or flop
View ArticleAI models point to recession, but quants won’t trade on them
Predicting the odds of a recession, and how markets will respond, is still a step too far for machines
View ArticleGeopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
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View ArticleRole of the dice: how Susquehanna puts game theory to work
One of the world’s largest options traders uses game theory – and poker practice – to get results
View ArticleUkraine war exposes risks in ‘naive’ ESG investing
Quants say funds have underperformed and will not aid transition to net zero
View ArticleCross-sectional stock volatility lifts value factor
Dispersion in returns makes for ‘double alpha’
View ArticleCan algos collude? Quants are finding out
Oxford-Man Institute is among those asking: could algorithms gang up and squeeze customers?
View ArticleIs low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
View ArticleThe haves and the ‘have bots’: can AI give vol forecasters an edge?
Firms look to machine learning and natural language processing to gain advantage over peers
View ArticleBNP Paribas quants ‘industrialise’ portfolio construction
Firm says tech, five years in development, takes two hours to do jobs that previously took two days
View ArticleInvestors zero in on short-dated options to trade US inflation prints
But critics say 0DTE products are increasing volatility around CPI announcements
View ArticleZero-day options and the shadow of the apocalypse
For some, 0DTEs could spell doom in adverse market conditions; others dismiss such talk as dramatics
View ArticleHow Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
View ArticleZero-day spikes vanish as bank worries exceed inflation fears
Implied volatility for short-dated options points to shift in sentiment after SVB failure
View ArticleWe’ll help banks reach ‘other side’ of deposit squeeze – Ares CEO
Private credit firm talking with banks about liquidity and capital ‘solutions’
View ArticleFleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
View ArticleUS vol experts hint at calm before storm in markets
Many buy-siders believe today’s relative tranquility in equities masks underlying fragility
View ArticleHow patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
View ArticleBalanced trading is calming zero-day volatility fears
UBS finds little evidence that 0DTE options exacerbate volatility
View ArticleCan machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
View ArticleHedge funds rev up short-vol trade in zero-day options
Firms are capping exposures to avoid a rerun of 2018’s ‘Volmageddon’ unwind
View ArticleAllianceBernstein: fine-tuning shrinks gen AI ‘hallucinations’
Asset manager says its tweaks have improved accuracy of LLM models
View ArticleQuant shop preps NLP-powered index for physical climate risk
Sharp rise in extreme weather events prompts PGIM Quant to aim for better climate-risk pricing
View ArticleTrend following struggles to return to vogue
Macro outlook for trend appears to be favourable, but 2023’s performance flop gives would-be investors pause for thought
View Article‘Brace, brace’: quants say soft landing is unlikely
Investors should prepare for sticky inflation and volatile asset prices as central banks grapple with turning rates cycle
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