Articles by Faye Kilburn
A fool’s gold (or data) mine
Quants are building statistical toolkits to avoid the pitfalls of data mining
Data riches pose new test for risk managers
New quant tools must be balanced with old-fashioned intuition
MSCI proposes ‘fairer’ alternative to swing pricing
Exiting investors should only pay the cost of net redemptions, says Acerbi
JP Morgan data scientist on mining and machine learning
Asset management arm looks to trawl internal data for investment edge
Modelling correlation: from zig-zag to zig-zig
Research is starting to show the stock-bond link in a new light
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
Goldman building team to sell its own alternative data
New group tasked with finding data within the securities division that could be sold to clients
Factor models found to miss time variations in trading day
Large-cap momentum picks up after open, before close
Ryan Labs harvests ‘flight-to-quality premium’
Defensive risk premia strategy buys ultra-long-dated Treasury futures when markets panic
Fears persist about forced unwind from ‘implicit’ short vol funds
February sell-off could presage a bigger slide if correlations change, buy-siders say
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
SEC liquidity rule delay a double-edged sword for asset managers
Some mutual funds say a staggered approach to implementation will add to their workload
Ex-F1 strategist in driving seat at Schroders data unit
Mark Ainsworth on “turning data into alpha” at fundamental asset manager
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Investors warm to quant tools to gauge political risk
Many funds have lost confidence in traditional ways of measuring political risk
UBS AM plans new generation of quant tools for stock pickers
Bryan Cross thinks ‘man plus machine’ investing will flourish
Funds seek ways to stay clear of factor flows
Gyrations in momentum and value are a reminder that investors can be swept up in factor reversals
SEC eyes new rules on algo trading in bond markets
Electronification of bond markets may require a regulatory response, Jay Clayton says
Softened liquidity rule would still be ‘misguided’
Treasury proposals welcome, firms say, but watered-down SEC rule would leave risks unaddressed
AQR’s Cliff Asness: ‘machine learning worries me’
Leading quant cautious on machine learning’s use with limited data
‘We’re being fed a line’: investors vexed by central bank influence
Buy-siders say central bank communications policies broke link between markets and political risk
Liquidity snarls progress on factor investing in credit
Asset managers are re-engineering strategies borrowed from equity to fit practicalities of trading bonds
Quants stymied by lack of alternative risk premia flows data
Data shortage is hampering efforts to model futures market liquidity