Stock price
Euronext microwave link aims to cut HFT advantage in Europe
Exchange plans to level playing field between prop firms and banks in cash equities with cutting edge tech
Stock-level ‘inelasticity’ explains ESG boom, research says
Reluctance of ESG investors to sell holdings is pushing prices even higher
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
Investment flow tracking is next ‘frontier’ for alpha
Risk Live: Flows impact asset prices more than widely believed and may be more predictable – quants
Quantum kit offers HFTs ‘100-fold’ speed boost
After spotting FX arbitrage opportunities, new tech faces real-world test in Japanese stocks
The value rally that never was
Many value stocks stayed flat on November 9 vaccine news, says factor investing expert
R-nought is the wrong number for markets, academics say
New research suggests volatility of transmission matters more for asset prices
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
The problem with GRC
Boards may care more about products and profits than governance, risk and compliance (GRC). But without an effective GRC programme, the fun soon stops when trouble calls, says Michael Gibbs, chief executive of SureStep Risk + Analytics
Value: ‘Trade of the decade,’ says QMA
Quant firm predicts big revival for out-of-favour strategy
Path independence of exotic options and convergence of binomial approximations
In this paper, the authors analyse the convergence of tree methods for pricing barrier and lookback options.