Our take
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
FX traders revel in March Madness
Chaotic Trump policies finally bring diversity to flows – to the delight of market-makers
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
How AI agents could become investing’s crash test dummies
Firms mull the use of chatbot simulations to test organisational set-ups
Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Why did UK keep the pension fund clearing exemption?
Liquidity concerns, desire for higher returns and clearing capacity all possible reasons for going its own way
UBS’s Iabichino holds a mirror to bank funding risks
Framing funding management as an optimal control problem affords an alternative to proxy hedging
Trump 2.0 bank supervision: simpler but no soft touch?
Republican FDIC vice-chair Travis Hill wants more focus on financial risk instead of process
Lots to fear, including fear itself
Binary scenarios for key investment risks in this year’s Top 10 are worrying buy-siders
Podcast: Alexei Kondratyev on quantum computing
Imperial College London professor updates expectations for future tech
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Thin-skinned: are CCPs skimping on capital cover?
Growth of default funds calls into question clearers’ skin in the game
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
Talking Heads 2024: All eyes on US equities
How the tech-driven S&P 500 surge has impacted thinking at five market participants
Beware the macro elephant that could stomp on stocks
Macro risks have the potential to shake equities more than investors might be anticipating
Podcast: Piterbarg and Nowaczyk on running better backtests
Quants discuss new way to extract independent samples from correlated datasets
Should trend followers lower their horizons?
August’s volatility blip benefited hedge funds that use short-term trend signals
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market
Can pod shops channel ‘organisational alpha’?
The tension between a firm and its managers can drag on returns. So far, there’s no perfect fix