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Managing Smile Risk
In this paper, it is discovered that the dynamics of the market smile predicted by local vol models is opposite of observed market behaviour.
Sun 13 Jan 2019
How to Succeed in Quant Investing with Big Data Analytics
In this article, Peter Hafez shares his views on what he believes is required to succeed in today's world of quant investing.
Wed 12 Sep 2018
Transformers
In this column published in Wilmott Magazine, Mike Staunton discusses the Hilbert transform.
Tue 13 Feb 2018
Investing in Thoroughbred Race Horses
Bill Ziemba discusses the horse-racing investments at the highest level: actual horse ownership, as opposed to betting on the races.
Wed 24 Jan 2018
Bond over Big Data - Trading bond futures (& FX) with RavenPack news data
The author uses the RavenPack Analytics Global Macro data to create news-based economic indices (NBESI) for the U.S., E.Z, U.K. and Japan which they then test against sovereign bond futures prices.
Thu 12 Oct 2017
A “Multi-Topics” Approach to Building Quant Models
In this research, RavenPack demonstrate how their improved event detection technology allow investors to systematically identify key topics and market-moving events.
Thu 12 Oct 2017
Boris Johnson, Yanis Varoufakis And Sir Vince Cable All Have Something In Common
In Dr. Paul Wilmott's latest blog post he highlights what Boris Johnson, Yanis Varoufakis and Sir Vince Cable all have in common as they give their views on Brexit.
Mon 25 Sep 2017
IMPACT STUDY: Earnings Sentiment Consistently Outperforms Consensus
In RavenPack’s latest research, we find that their new earnings sentiment indicator derived from real-time news and social media significantly outperforms consensus estimates.
Tue 12 Sep 2017
How to use Natural Language Processing for Multi-Topic Quant Investing
In this article, Peter Hafez discusses how investors need the right tools to cut through the noise to uncover the signal behind the latest move in the markets.
Wed 23 Aug 2017
Navigating Stock Market Crashes in the Brexit Trump Era (Presentation Slides)
Presentation slides for Dr. Bill Ziemba's talk - 'Navigating Stock Market Crashes in the Brexit Trump Era'.
Wed 31 May 2017
