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Quantpedia Research Review - Issue 1

Issue 1 delves into the detail on overnight market anomalies and combining data sources for the dollar factor. We also look into different replication approaches for ETFs, and review new thinking on market timing strategies.

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A Day in the Life of a Quantitative Portfolio Manager

CQF alumnus, Michael Althof gave a recent talk on ‘A Day in the Life of a Portfolio Manager’ – discover what he had to say about this career.

CQF Institute
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Option Pricing with Radial Basis Functions: A Tutorial

In this article, Alonso Pena describes the method of radial basis functions (RBF) and how it can be used for the numerical solution of partial differential equations in finance.

Alonso Pena
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Swaptions: 1 Price, 10 Deltas, and … 61/2 Gammas*

This article compares simple risk measures (first and second order sensitivity to the underlying yield curve) for simple instruments (swaptions).

Marc Henrard
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Trend followers lose more often than they gain

In this article, the authors solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution.

Marc Potters and Jean-Philippe Bouchaud
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A Markovian Model of Default Interactions: Comments and Extensions

This article analyses Davis and Lo (2001b) enhanced risk model, which is a dynamic version of the popular market model of infectious defaults of Davis and Lo (2001a).

Vladyslav Putyatin, David Prieul, Svetlana Maslova
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The Chemistry of Contagious Defaults

In this article, the authors have obtained a dynamical Markovian model of default interactions that describes portfolio’s dynamics endogenously through the mechanism of chemical reactions.

Vlad Putyatin and Svetlana Maslova
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Quant Insights Conference: How Quantum Should Change the Way We Think About Finance

In this panel discussion led by David Orrell, Principal, Systems Forecasting, participants Professor Andrew Sheng, Chief Advisor, China Banking and Insurance Regulatory Commission, Esperanza Cuenca-Gómez, Head of Strategy and Outreach, Multiverse Computing, and Dr. Taha Jaffer, Head of Wholesale Banking and Treasury AI, Scotiabank, share their views on the current quantum evolution in finance.

David Orrell, Professor Andrew Sheng, Esperanza Cuenca-Gómez, Dr. Taha Jaffer
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Quant Insights Conference: Factor Investing and the Road to Diversified Serfdom

In May 2022, the Quant Insights Conference held by the CQF Institute featured a panel discussion entitled, “Factor Investing and the Road to Diversified Serfdom.”

Dr. Michael G. Kollo, Dr. Bernard Lee, Professor James Sefton, Leif Cussen
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Volatility Voodoo

In this article, Kent Osband discusses volatility models.

Kent Osband