Leverage
Machine learning could solve optimal execution problem
Reinforcement learning can be used to optimally execute order flows
Leverage and uncertainty
By extending the Kelly criterion to a simple probabilistic model with an additional tail risk outcome associated with uncertainty, this paper looks beyond risk and evaluates how uncertainty constrains optimal leverage.
Rethinking risk management in the age of cognitive computing
Content provided by IBM
SEC derivatives rule on the chopping block
Exposure cap for mutual funds likely to be scrapped, but segregation proposals may survive
FSOC focuses on non-cleared trades in buy-side Sifi debate
CFTC chairman sees ‘very important distinction’ in cleared versus uncleared trades
China leverage clampdown to hit two-tier structured products
Product issuers look to derivatives to boost returns, but options are limited
FSB buy-side plans a 'step forward', says industry group
Investment Association welcomes suggestions to regulate illiquid and levered funds
Interview: Iosco’s Andrews stresses CCP resilience and recovery
CCP resolution spells regulatory failure; guidance to follow on PFMIs and CCP stress-testing
Interview: Natasha Cazenave on systemic risk in asset management
Chair of Iosco’s investment management committee welcomes “shift in the debate to an activities focus”
The academic insights behind fears of a buy-side crunch
Risk of fire sales by highly levered funds is chief worry among influencers of regulatory thinking
SEC’s fund leverage cap needs revising but the idea is sound
Simplicity is welcome – up to a point
Buy side targets leverage cap in SEC derivatives plans
AQR says its managed futures fund could suffer larger drawdowns under new rule
Fears leveraged ETFs could amplify Japan equity swings
Huge inflows giving ETF sector outsized impact on cash markets
Bank market-making is more limited, but also more robust
Liquidity is a concern, but lower capital requirements are not the answer, writes SNB's Rime
Interview: Dutch regulator on leveraged ETF review
Following clampdown on leveraged ETFs in 2013, Autoriteit Financiële Markten launches second review of sector
FCA survey finds high levels of leverage in hedge fund sector
Gross notional exposure to interest rate and forex derivatives on the rise
Traders and politicians can learn from dead pilots
Trading portfolios are easily mishandled, as are Europe's economies
EC challenged to adopt Basel method for AIFMD leverage
Hedge funds oppose gross and commitment calculations
Best in Australia: UBS
UBS wins best in Australia award
Eaglewood sees online platforms as future of lending
Eaglewood Income Fund up 9% to June 2014
Hedge funds face higher prime broker charges under Basel III
Funds urged to build treasury savvy as prime brokers retrench
Camomille: most money made on the recovery
'Madness of crowds' psychology governs investment policy
UBS leveraged return note matures and rewards risk-takers
Handsome uncapped rewards for US investor despite leveraged downside
Leveraged products lead recovery in Europe's structured investment market
Europe sees sharp rise in leveraged structures as yield hunt continues and CFDs lose popularity