Articles by Faye Kilburn
Hedge funds rev up short-vol trade in zero-day options
Firms are capping exposures to avoid a rerun of 2018’s ‘Volmageddon’ unwind
Can machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
Balanced trading is calming zero-day volatility fears
UBS finds little evidence that 0DTE options exacerbate volatility
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
US vol experts hint at calm before storm in markets
Many buy-siders believe today’s relative tranquility in equities masks underlying fragility
AI in sheep’s clothing? Wolfe Research develops finance chatbot
Bot is trained in financial and ESG data, but won’t replace humans – yet – says firm
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
We’ll help banks reach ‘other side’ of deposit squeeze – Ares CEO
Private credit firm talking with banks about liquidity and capital ‘solutions’
Zero-day spikes vanish as bank worries exceed inflation fears
Implied volatility for short-dated options points to shift in sentiment after SVB failure
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
Zero-day options and the shadow of the apocalypse
For some, 0DTEs could spell doom in adverse market conditions; others dismiss such talk as dramatics
Investors zero in on short-dated options to trade US inflation prints
But critics say 0DTE products are increasing volatility around CPI announcements
BNP Paribas quants ‘industrialise’ portfolio construction
Firm says tech, five years in development, takes two hours to do jobs that previously took two days
The 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
Is 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
Can algos collude? Quants are finding out
Oxford-Man Institute is among those asking: could algorithms gang up and squeeze customers?
Cross-sectional stock volatility lifts value factor
Dispersion in returns makes for ‘double alpha’
Ukraine war exposes risks in ‘naive’ ESG investing
Quants say funds have underperformed and will not aid transition to net zero
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
How to hone NLP’s detection skills: a cue from a super-sleuth
With a sharper focus, AI readers could help detect hidden exposures for investors
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
AI 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
‘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