Academic
The curious case of the revealing orders
Oxford academics have found evidence pointing to collusion on a European exchange, but market-makers aren’t wholly convinced
Brains beat backtests in a tough year for FIA indexes
Four of the top 10 benchmarks in 2022 were based on the economic theories of prominent academics
Wanted: radical ideas for inflation modelling
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
Are decentralised exchanges the future for trading?
Success of blockchain venues has implications even beyond crypto
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Banks strive for machine learning at quantum speed
Embryonic work on quantum neural networks raises hope of faster, more accurate models
Is it worth doing a quant master’s degree?
UBS’s Gordon Lee – veteran quant and grad student supervisor – asks the hard question
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers
An old model can shed new light on how flows shape prices
Market microstructure theory may also explain long-term patterns in stock markets
Quant grad conveyor belt stalls as banks retrench
Jobs market is long quant graduates, short vacancies – but hiring freeze shows signs of thawing
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
A step closer to the perfect volatility model
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
NYU’s Epstein on fear and complacency in the age of Covid
Pioneer of agent-based models warns of virus resurgence akin to 1918 Spanish flu
Quant finance courses tested by Covid’s echoing classrooms
Universities fret over drop in international students and demands of online learning
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
Quant Guide 2020: top programmes lean on alumni networks
For top schools, some of the most important students are the ones that have already graduated
Quant Guide 2020: programmes tap banks for teaching talent
Unis are adding machine learning and data science courses, but need instructors to teach them