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Quantpedia Research Review - Issue 20
Issue 20 explores the efficacy of active versus passive life cycle savings strategies by comparing multiple asset classes, examines the innovative use of Convolutional Neural Networks (CNNs) for pairs trading, and analyzes financial analysts' counter-cyclical views on risk premia.
Tue 16 Jul 2024
Quantpedia Research Review - Issue 19
Issue 19 explores the use of Google Trends data to predict cryptocurrency returns, discusses the influence of business cycles on machine learning stock predictions, and studies an analysis of currency market strategies over a 200-year history.
Tue 11 Jun 2024
What Salary Could You Earn Working in Quantitative Finance?
Embark on your quant finance career journey with the 2024 CQF Careers Guide to Quantitative Finance.
Tue 7 May 2024
Quantpedia Research Review - Issue 18
Issue 18 delves into cryptocurrency hedging strategies, discusses the impact of Bitcoin’s future expiration on prices, and explores the role of art as a portfolio diversifier.
Wed 24 Apr 2024
The Heston–Hull–White Model Part I: Finance and Analytics
This is the first article in a series of three on financial modeling. The aim of this series is to show the full life cycle of model development. We have chosen an equity model with stochastic volatility and stochastic interest rates.
Fri 5 Apr 2024
Negative Probabilities in Financial Modeling
The article explores the concept of negative probabilities and how they can be used in financial modeling, specifically in the valuation of certain financial options known as Caps and Floors.
Wed 3 Apr 2024
Quantpedia Research Review - Issue 17
Issue 17 delves into stock market concentration in the United States, discusses how to improve portfolios using mutual information, and explores the robust testing of country and asset ETF momentum strategies.
Mon 25 Mar 2024
Julia Computing: Automatic for the Greeks
In this article, Dr. Simon Byrne and Dr. Andrew Greenwell discuss fast and accurate price sensitivities using Julia.
Wed 21 Feb 2024
Quantpedia Research Review - Issue 16
Issue 16 introduces a new Pragmatic Asset Allocation Model, highlights the critical role of machine learning model execution time in empirical asset pricing, and explores if factor risks can explain crypto market returns.
Wed 21 Feb 2024
Time and Black–Scholes–Merton
The article contrasts the abstract nature of financial models like Black–Scholes–Merton with their application in real-world markets, highlighting the philosophical challenges of reconciling formal mathematical constructs with physical time and history.
Tue 23 Jan 2024
