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A Generalised Procedure for Locating the Optimal Capital Structure
This article presents a generalisation of an earlier approach for determining and locating the optimal capital structure of a corporate firm.
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.
An Asymptotic FX Option Formula in the Cross Currency Libor Market Model
In this article, Atsushu Kawai and Peter Jäckel introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03].
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.
Building Your Wings on the Way Down
Aaron Brown discusses financial risk in this article from Wilmott Magazine.
CUDA Programming Using Wolfram Finance Platform
This document describes the benefits of CUDA integration in Wolfram Finance Platform and provides some applications for which it is suitable.
Dead on Arrival - Living Wills and Liquidity
With surprisingly little fanfare, the Federal Reserve and other prudential regulators completely rejected the ‘Living Wills’ submitted by eleven of the largest U.S. Bank Holding Companies (BHCs).
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.
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.
