Open Filter
Option Pricing
Options are analysed and valued in the context of Merton’s (1987) ‘Simple Model of Capital Market Equilibrium with Incomplete Information’.
The New New Math
In this column published in Wilmott Magazine, Aaron Brown discusses the difference between the teachings of new and old maths.
Transformers
In this column published in Wilmott Magazine, Mike Staunton discusses the Hilbert transform.
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.
Can anyone solve the smile problem?
Within this paper the authors explore whether the smile problem can be solved and provide a general reflection of the problem.
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.
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.
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.
A Machine Learning-Based Trading Strategy Using Sentiment Analysis Data
In this white paper, Lucena found that constructing portfolios using RavenPack sentiment indicators jointly with traditional factors can result in significant outperformance versus...
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.
