Quantitative analysis
Modal patterns in market data stump Morgan Stanley quants
New research suggests algo traders are changing the market microstructure
Growth in factor investing renews crowding fears
Single-factor ETFs could pose threat to quantitative equity market neutral strategies
Robo-traders and robo-labour
Banks and buy-siders are starting to harvest the benefits of machine learning beyond the front office
Quant funds plan to ‘skip the day’ after French election
Some model-driven investors see signs of crowding in short volatility trades
Quants turn to machine learning to model market impact
JP Morgan, Bloomberg and Portware among those applying AI to long-standing problem
Mifid, machine learning and swaps compression
The week on Risk.net, March 10–16, 2017
A not-so-secret recipe for success: Beacon's cloud-based quant platform
Sponsored Q&A: Beacon
A conflict resolution strategy for capital allocation?
A recently proposed method for capital allocation has the potential to resolve internal disputes
Quant jobs at risk from tech advances
But humans and 'intelligent' computers a strong combination, hedge fund managers say
IMF's systemic risk findings called into question
Financial connectedness measure “not usually sharply aligned with systemic risk”, says Darrell Duffie
HAL to pay: where hedge funds think AI can really work
Some funds using artificial intelligence already; others see obstacles to its success
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
Senior quant Green swaps Lloyds for Scotiabank
Green to lead development of new XVA pricing model at Canadian lender
Paper of the year: PJ de Jongh, Tertius de Wet, Kevin Panman and Helgard Raubenheimer
South African academics pioneer a quick and easy way of estimating op risk capital
Research on loss data backs up new Basel op risk charge
Study finds op risk losses can be scaled in the same way as tests on engineering models
Living wills and LVAR could help kill liquidity risk
When used with living wills, a new method may help banks quantify liquidation costs
Trust in clusters: a new approach to stress testing
Search for plausible stress scenarios leads Natixis risk managers in a new direction
Algorithmic execution: Harnessing technology to manage risk
Sponsored feature: HSBC
When it comes to correlation, cleaning is a chore that pays
Recent trends in research may help firms obtain reliable correlations from limited data
Top quant Peter Carr leaves Morgan Stanley
Global head of market modelling is no longer with the bank, say industry sources
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
South African banks may pool quants to tackle FRTB
Senior trader fears banks don't have quant resources to meet FRTB deadline
Quant of the year: Alexandre Antonov
Numerix quant revolutionises negative rates modelling
Quant Ideas: market-making, risk and information in commodities
High volatility and noisy data sets have profound implications on risk management in commodity markets