Trading strategy
Securities and Exchange Commission Form 13F Holdings Report: statistical investigation of trading imbalances and profitability analysis
The authors argue that trading against SEC Form 13F-HR imbalances can prove a profitable strategy due to the inflation of related asset prices.
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
Are cryptocurrencies cryptic or a source of arbitrage? A genetic algorithm approach
The authors identify triangular arbitrage trading opportunities through genetic algorithms in order to find insights into the volatility of cryptocurrencies and stablecoins with the largest market cap.
How AI can give banks an edge in bond trading
Machine learning expert Terry Benzschawel explains that bots are available to help dealers manage inventory and model markets
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
HFT activity increases periodic auctions costs
Eightfold jump in market impact as more trades head to once-benign execution format
Momentum transformer: an interpretable deep learning trading model
An attention-based deep learning model for trading is presented
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
The quant investor harnessing the power of ants
Swarm Technology designs network of trading algorithms that mimics hive mind of insects
Role 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
Optimal trade execution with uncertain volume target
This paper demonstrates that risk-averse traders can benefit from delaying trades using a model that accounts for volume uncertainty.
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
‘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
Abnormal returns and stock price movements: some evidence from developed and emerging markets
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for developed and emerging markets from 2010 up until 2020.
The future of equity derivatives: perspectives for UK equities and dividends
Managing equity and dividend risk today requires new trading strategies and products. In a webinar convened by Risk.net and hosted by Eurex, three experts discuss what’s next for the UK and European markets.
Forecasting volatility and market returns using the CBOE Volatility Index and its options
This paper examines the CBOE VIX, the VIX options’ implied volatility and the smirks associated with these options.
The value-at-risk of time-series momentum and contrarian trading strategies
This paper not only provides a theoretical model for the value-at-risk of active and passive trading strategies but also discusses the substantial implications relevant to risk management.
A new metric for liquidity add-ons: easy as ADV, but better
Proposed measure allows brokers to calculate stable, stock-specific liquidity add-ons
A principled approach to clean-up costs in algo trading
The opportunity cost associated with the cancelled portion of an order is quantified
Time to act – Smart transitions to UMR compliance
Firms face many challenges as deadlines loom for phases five and six of the uncleared margin rules (UMR), including getting their average aggregate notional amount calculations right to determine which phase they are in. With only three months to prepare…