Systematic trading
Should trend followers lower their horizons?
August’s volatility blip benefited hedge funds that use short-term trend signals
‘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
Flow market-maker of the year: Citadel Securities
Risk Awards 2022: ‘Meme factor’ and sturdy systems helped Ken Griffin’s firm cope with huge volumes – and post record revenues
Derivatives house of the year: JP Morgan
Risk Awards 2022: Big bet on AI is delivering results
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
A market scoring mechanism for trading of German electricity futures
This paper present a novel systematic commodity trading model utilizing a time series momentum strategy.
Banks lure FX algo sharks into shallow waters
Sick of losing out to predatory HFTs, dealers are trying to create liquidity pools they can trust
Trend followers fall under speeding equity markets
Riding trends in equity markets is proving to be a risky pastime for quant investors
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
In factor timing, ‘where?’ matters as much as ‘when?’
Goldman quants’ thought experiment shows timing works best for low-Sharpe strategies
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Banks and prop shops expect more trading tie-ups
Risk Live: White-labelling a new battleground, with Barclays, BNP, Citadel and Jump touting price streams
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Buy-side quant of the year: Gordon Ritter
Risk Awards 2019: Quant uses new tech to tackle old problem of optimal execution
Banks scan chat and web for trading intel
Market-makers seek new signals on volatility and direction via natural language processing
Systematic testing of systematic trading strategies
This study reviews the various statistical methodologies that are in place to test multiple systematic trading strategies and implements these methodologies under simulation with known artificial trading rules in order to critically compare and evaluate…
Market mean reversion takes longer than expected – CFM quants
Research on how long trends last could help avoid fallout from drawdowns like February’s
Modal patterns in market data stump Morgan Stanley quants
New research suggests algo traders are changing the market microstructure
Beware simulation sins
Aspect Capital’s Stephen Wood picks out the most common pitfalls in simulations of quantitative investment strategies
Trump win forces rethink of investment risk assumptions
Risk management preparations confounded by day that shifted from risk off to risk on
Buy-side risk managers doubt own liquidity metrics
Risk Hedge Europe attendees say they lack formal measures of liquidity