Articles by Rob Mannix
JP Morgan quants are building deep hedging 2.0
New model uses Bellman technique to learn general derivatives hedging strategies
The stETH slide and what it means for crypto liquidity
Q&A: Automated market-making may have contributed to depegging, says a crypto fund manager
Why machine learning quants need ‘golden’ datasets
An absence of shared datasets is holding back the development of ML models in finance
Why even the safest stablecoins could fail
Settlement delays, insolvency risks mean collateralised coins could falter
Designed to fail: terra and the limits of arbitrage
Speculative ‘attack’ exposed fundamental flaws in crypto’s algorithmic stabilisation mechanism
Trend following’s bumper returns mask fading convexity
Research suggests strategy is no longer a reliable hedge against stock market crashes
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Ukraine conflict reminds quants that operations matter
Quants cannot ignore real-world frictions such as sanctions and market closures
Super backwardation trips up commodity carry trade
Wrong type of curve derails quants’ commodity carry trade for worst spell in decades
Aaron Brown: war could usher in new sanctions era, hurting US
Investors must think long-term, warns risk expert; west may lose out to crypto and new financial hubs
Analysts reveal more than company execs on earnings calls – AB
Sentiment signals derived from what analysts say beat those based on bosses’ responses, say quants
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
Adia wealth fund is building supergroup of quant investing
Abu Dhabi Investment Authority wants to turn systematic investing into a ‘good science’
Green stocks will rise 8%, while energy shares slide – BlackRock
Discount rates for heaviest polluters will worsen by 50 basis points by end 2025, research suggests
How NN IP uses machines to read the market – and itself
Dutch manager being acquired by Goldman uses machine learning to ‘augment’ its analysts
Midday stock reversals becoming more common, quants say
Zig-zagging markets could spell trouble for quant strategies and dealers hedging options
Market reversals trigger losses for intraday quant strategy
Equity trend strategies designed to hedge against market drops have suffered in recent turmoil
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Language barrier: quants slog to teach investing bots to read
Training models to interpret text can be dull; doing it badly can be costly
New breed of NLP model learns finance better, study finds
Models trained by looking at sentences beat conventional approaches that contextualise words