Cutting Edge Backtesting correlated quantities A technique to decorrelate samples and reach higher discriminatory power is presented 18 Sep 2024   |  Technical paper

Cutting Edge A hard exit threshold strategy for market-makers A closed-form solution to derive optimal stop-loss and profit-taking levels is presented 09 Sep 2024   |  Technical paper

Cutting Edge Pricing share buy-backs: an alternative to optimal control A new method applies optimised heuristic strategies to maximise share buy-back contracts’ value 14 Aug 2024   |  Technical paper

Cutting Edge CVA sensitivities, hedging and risk A probabilistic machine learning approach to CVA calculations is proposed 26 Jul 2024   |  Technical paper

Cutting Edge Podcast: Alvaro Cartea on collusion within trading algos Oxford-Man Institute director worries ML-based trading could have anti-competitive effects 24 Jul 2024   |  Opinion

Risk management The post-Archegos risk model rebuild begins… slowly Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort 04 Sep 2024   |  Feature