Trading strategy
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
Beta hedging: performance measures, momentum weighting and rebalancing effects
In this paper, the authors discuss the various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted returns and losses of trading strategy.
Winning investment strategies based on financial crisis indicators
The aim of this paper is to create systematic trading strategies built around several financial crisis indicators, which are based on the spectral properties of market dynamics.
To Hull and back: a 20-year hiatus in bank e-trading plans
In the 1990s, banks tried to buy automated trading expertise; now, after a long break, they’re trying to build it
Machine earning: how tech is shaking up bank market-making
As banks get serious about e-trading, humans are being asked to give up their secrets to the machines that could replace them
Risk averse fractional trading using the current drawdown
In this paper, the fractional trading ansatz of money management, also called growth optimal trading, is reconsidered. Special attention is paid to the chance and risk parts of the goal function for the related optimization problem.
Speed and dimensions of trading
In this paper, two new portfolio statistics are introduced: ENT, which measures trading speed, and ENTD, which measures trading diversity. Together with vectors representing major trading directions, these provide new insight into the intrinsic…
Machine learning for trading
Gordon Ritter applies reinforcement learning to dynamic trading strategies with market impact
An uncertainty quantification framework for the achievability of backtesting results of trading strategies
In this paper, the authors propose a framework for implementing and backtesting trading strategies.
New execution algos show complexity is not to be feared
Quants develop method to include both market impact and limit orders in optimal trade execution
Optimal trading with linear and (small) non-linear costs
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs
Optimal closing-price strategy: peculiarities and practicalities
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
Risk reduction in a time series momentum trading strategy
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.
Risk management for return enhancement
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models
Defence against IP theft in financial services
The last few years have seen several high profile criminal and civil cases over the theft of intellectual property from financial institutions. Legal battles, however, are extremely complex and expensive, so firms need to ensure they have adequate…
Non-linear momentum strategies
Non-linear momentum strategies
UBI sells strategy-based products to retail in Italy for the first time
UBI sells strategy-based products to retail in Italy for the first time
Optimal design of volatility-driven algo-alpha trading strategies
Optimal design of volatility-driven algo-alpha trading strategies