SPECIAL: Bond yields
Analyzing global fixed income markets with tensors
Roughly speaking, a tensor is an array (generalization of a matrix) of numbers that transform according to certain rules when the array’s coordinates change....
The duration extraction effect
Under non-conventional monetary policy central banks influence financial markets through the “portfolio rebalancing channel”. The purchase of assets changes the structure of prices. A...
Understanding the correlation of equity and bond returns
The correlation of equity and high grade sovereign bond returns is a powerful driver of portfolio construction and the term premia of interest rates....
How convenience yields have compressed real interest rates
Real interest rates on ‘safe’ assets such as high-quality government bonds had been stationary around 2% for more than a century until the 1980s....
"Curve Fitting With Python": "Curve fitting involves finding the optimal parameters to a function that maps examples of inputs to outputs...The SciPy Python library provides an API to fit a curve to a dataset." https://t.co/HALUA0Q6E9 https://t.co/GqxlVxooTz
Simple ideas can sometimes be helpful: "Creating a Contrarian Indicator Using Moving Averages in Python." https://t.co/cA2yaGXzcx https://t.co/Z13NTQVFO6
Paper "presents a present-biased general equilibrium model that explains many features of bond behavior...present bias drives up short-term bond prices and drives down long-term bond prices, explaining the bond premium puzzle." https://t.co/9fc2LjI01f https://t.co/edYkfCeSEO
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asset management Asset Purchase Program banks bond returns bond yields bubbles capital regulation China collateral commodities credit returns default ECB economic data EM equity returns euro area crisis Fed financial crisis FX FX interventions FX returns government debt government deficits herding inflation information leverage liquidity market turmoil price factors regulation risk management shadow banking statistical methods term structure trend following variance risk premium volatility ZLB
SYSTEMIC RISK
Understanding international capital flows and shocks
Macro trading factors for FX must foremostly consider (gross) external investment positions. That is because...
Measures of market risk and uncertainty
In financial markets, risk refers to the probability distribution of future returns. Uncertainty is a...
Modern financial system risk for macro trading
Financial system risk is the main constraint and disruptor of macro trading strategies. There are...
Public finance risk
Fiscal expansion was the logical response to the 2020 health and economic crisis. Alas, public...
Systemic risk under non-conventional monetary policy
Central bank operations in the form of quantitative easing, qualitative easing, forward guidance and collateral...
SYSTEMATIC VALUE
Estimating the positioning of trend followers
There is a simple method of approximating trend follower positioning in real-time and without lag....
Forecasting energy markets with macro data
Recent academic papers illustrate how macroeconomic data support predictions of energy market flows and prices....
Fundamental trend following
Fundamental trend following uses moving averages of past fundamental data, such as valuation metrics or...
Prospect theory value as investment factor
Prospect theory value as investment factor
Prospect theory value is a valid investment factor, particularly in...
Understanding international capital flows and shocks
Macro trading factors for FX must foremostly consider (gross) external investment positions. That is because...
POPULAR POSTS
The dangerous disregard for fat tails in quantitative finance
The statistical term ‘fat tails’ refers to probability distributions with relatively high probability of extreme outcomes. Fat tails also imply strong influence of extreme...
Understanding dollar cross-currency basis
Covered interest parity is an arbitrage condition that equalizes costs of direct USD funding and of synthetic USD funding through FX swaps. Deviations are...
VIX term structure as a trading signal
The VIX futures curve reflects expectations of future implied volatility of S&P500 index options. The slope of the curve is indicative of expected volatility...
Understanding the correlation of equity and bond returns
The correlation of equity and high grade sovereign bond returns is a powerful driver of portfolio construction and the term premia of interest rates....
Leverage in asset management
Asset managers can use leverage to enhance returns. Outside hedge funds, such leverage is modest as share of assets under management. However, considering the huge...
The importance of volatility of volatility
Options-implied volatility of U.S. equity prices is measured by the volatility index, VIX. Options-implied volatility of volatility is measured by the volatility-of-volatility index, VVIX....