Articles by Faye Kilburn
Decades of history says you can beat high inflation with quality
Factors such as momentum and value generally outperform the market irrespective of inflation, but new research suggests quality stocks are best when prices are rising rapidly
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
Zero-day hedging takes root in new asset classes
Option users move beyond equity indexes in search of cheaper, sharper hedging tools
Choppy inflation may be the worst inflation
Investors can build strategies to suit fast-rising prices, or slow-rising prices. What trips them up is the inflation foxtrot: slow, slow, quick, quick, slow
‘Brace, brace’: quants say soft landing is unlikely
Investors should prepare for sticky inflation and volatile asset prices as central banks grapple with turning rates cycle
Trend following struggles to return to vogue
Macro outlook for trend appears to be favourable, but 2023’s performance flop gives would-be investors pause for thought
Quant shop preps NLP-powered index for physical climate risk
Sharp rise in extreme weather events prompts PGIM Quant to aim for better climate-risk pricing
AllianceBernstein: fine-tuning shrinks GenAI ‘hallucinations’
Asset manager says its tweaks have improved accuracy of LLM models
Hedge funds rev up short-vol trade in zero-day options
Firms are capping exposures to avoid a rerun of 2018’s ‘Volmageddon’ unwind
Can machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
Balanced trading is calming zero-day volatility fears
UBS finds little evidence that 0DTE options exacerbate volatility
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
US vol experts hint at calm before storm in markets
Many buy-siders believe today’s relative tranquility in equities masks underlying fragility
AI in sheep’s clothing? Wolfe Research develops finance chatbot
Bot is trained in financial and ESG data, but won’t replace humans – yet – says firm
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
We’ll help banks reach ‘other side’ of deposit squeeze – Ares CEO
Private credit firm talking with banks about liquidity and capital ‘solutions’
Zero-day spikes vanish as bank worries exceed inflation fears
Implied volatility for short-dated options points to shift in sentiment after SVB failure
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
Zero-day options and the shadow of the apocalypse
For some, 0DTEs could spell doom in adverse market conditions; others dismiss such talk as dramatics
Investors zero in on short-dated options to trade US inflation prints
But critics say 0DTE products are increasing volatility around CPI announcements
BNP Paribas quants ‘industrialise’ portfolio construction
Firm says tech, five years in development, takes two hours to do jobs that previously took two days
The haves and the ‘have bots’: can AI give vol forecasters an edge?
Firms look to machine learning and natural language processing to gain advantage over peers
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
Can algos collude? Quants are finding out
Oxford-Man Institute is among those asking: could algorithms gang up and squeeze customers?