Subject: The relativity of the fractional Gamma Clock

CUTTING EDGE ALERT

TOP STORY

The relativity of the fractional Gamma Clock

Bank of America quant expands his Gamma Clock model with a fractional Brownian motion

28 Feb 2025 | Technical paper

Views

A market-making model for an options portfolio

Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling

25 Feb 2025 | Opinion

Investing

BlackRock tests ‘quantum cognition’ AI for high-yield bond picks

Study uses Qognitive machine learning model to find liquid substitutes for hard-to-trade securities

21 Feb 2025 | News

Cutting Edge

Option market-making and vol arbitrage

The agent’s view is factored in to a realised-vs-implied vol model

20 Feb 2025 | Technical paper

Cutting Edge

Degree of influence 2024: volatility and credit risk keep quants alert

Quantum-based models and machine learning also contributed to Cutting Edge’s output

14 Feb 2025 | Analysis

Our take

Podcast: Alexandre Antonov turns down the noise in Markowitz

Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio

07 Feb 2025 | Opinion

Cutting Edge

Overcoming Markowitz’s instability with hierarchical risk parity

Portfolio optimisation via HRP provides stable and robust weight estimates

24 Jan 2025 | Technical paper

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