Stock market
UK offers unlimited dark trading on lost EU stocks
FCA gives London dark pools an edge over EU rivals, but will fund managers use it?
Trend followers fall under speeding equity markets
Riding trends in equity markets is proving to be a risky pastime for quant investors
Strangle to resuscitate: evidence from India
This study examines the performance of two strangle strategies at different legs to find the best strategy for consistent profit generation when trading on the Indian stock market index Nifty.
Monetary policy uncertainty and jumps in advanced equity markets
The authors analyze the role of monetary policy uncertainty in predicting jumps in nine advanced equity markets.
One man’s trash is another man’s Treasury
With yields at record lows, investors are asking how much protection bonds will offer in a future crisis
SFC’s Alder looks to shake up liquidity rules post-Covid
Asia Risk 25: HK regulatory head says central banks must “never have to step in again” to bail out investors
TSE outage throws structured notes into tailspin
Trading shutdown on October 1 disrupted observation dates for some structured products
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Optimal weights and hedge ratio behavior in Brent oil and Islamic Gulf stock markets
This paper examines the dynamics and spillover behavior between time-varying optimal weights and hedge ratios in order to analyze optimal volatility allocation spillover and characteristic structure.
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
Some quants fear more deleveraging to come
Buy-siders brace for further selling after hedge funds dumped risk in March
Covid-19 tumult is testing AI fund returns
Some ML strategies have coped well, but others began to struggle as panic mounted
Exchange shutdowns could trigger derivatives unwinds
Eight-day closure would invoke subjective valuation clauses; hedge disruption could cancel trades
Dispersion trades suffer in coronavirus selloff
Losses put at roughly $150m – even before markets tanked on March 9
On share buybacks, BofA leads US banks with $28bn splurge
In total, US G-Sibs spend 28% more on own shares in 2019 than previous year
Can shorting leveraged exchange-traded fund pairs be a profitable trade?
In this paper, the authors examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.
ETF investing – Building better portfolios
At the Asia ETF Forum 2019, Hong Kong Exchanges and Clearing (HKEX) welcomed industry experts from around the region to six key Asian exchange-traded fund (ETF) cities, offering attendees an updated view on the growing ETF market in Asia. This article…
From log-optimal portfolio theory to risk measures: logarithmic expected shortfall
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
Does international stock index arbitrage exist?
This study investigates international stock index arbitrage opportunities between seven blue-chip indexes in Asian, European and US time zones over a twenty-year time horizon.
Australian exchange could shorten settlement with blockchain
ASX will seek comment on quicker settlement of cash stocks – possibly the same day
The utility of Basel III rules on excessive violations of internal risk models
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
The machine shines in Hong Kong A-share fund
Strategy run by ChinaAMC (HK) combines machine learning with human judgement to outdo rivals