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Quantpedia Research Review - Issue 11
Issue 11 explores technical analysis patterns, investigates long-short anomaly portfolio return predictability, and discusses the performance of factor strategies in India.
The Value of Liquidity
In this article, the authors present a game-theoretic example that helps to illustrate the value of liquidity.
Quantpedia Research Review - Issue 10
Issue 10 discusses how beta adjusting equity factor leads to better strategies, explores the top models for Natural Language Understanding (NLU), and provides an analysis of factor investing funds.
Improving the Initial Margin Model
Stuart Smith examines ISDA’s response to the PRA’s comments of SIMM and explores the implications of this for the derivatives market.
The Implied Loss Surface of CDOs
In this article, the authors describe how to determine the implied loss distribution of a credit portfolio from CDO tranche quotes.
The Financial Heat Machine: Coupling With the Present Financial Crises
In this article, the author considers dynamics of financial markets as dynamics of expectations of people acting on them and discusses it from the point of view of phenomenological thermodynamics.
Quantpedia Research Review - Issue 9
Issue 9 explores the importance of gold in investment portfolios, discusses the lack of standardization in ESG ratings, and discusses whether investors should systematically emphasize certain industries or countries to increase expected returns.
Acadia’s Open-Source Risk Engine (ORE) - How its expanded functionality provides a real choice for firms
In this article, discover the Open-Source Risk Engine (ORE) - a standardized pricing and risk framework.
A Mean-Square Approach to Constant Proportion Debt Obligations
In this paper, the authors show that the optimal leverage function for CPDOs in a mean-square sense coincides with the one used in practice.
Quantpedia Research Review - Issue 8
Issue 8 compares In-Sample vs. Out-of-Sample trading strategies, evaluates the Skewness Model in commodities, and explores how to rebalance smart beta strategies.
