Inflation as equity trading signal
Academic research suggests that high and rising consumer price inflation puts upward pressure on real discount rates and is a headwind for equity market...
Economic growth and FX forward returns
Economic growth differentials are plausible predictors of foreign exchange return trends because they are related to differences in monetary policy and return on investment....
How to use FX carry in trading strategies
FX forward-implied carry is a valid basis for trading strategies because it is related to divergences in monetary and financial conditions. However, nominal carry...
Equity convexity and gamma strategies
Equity convexity means that a stock outperforms in times of large upward or downward movements of the broad market: its elasticity to the market...
Predicting volatility with neural networks
Predicting realized volatility is critical for trading signals and position calibration. Econometric models, such as GARCH and HAR, forecast future volatility based on past...
How to manage systemic risk in asset management
Systemic crises are rare but critical for long-term performance records. When the financial system fails, good trades become bad trades and many sensible investment...
How to estimate credit spread curves
Credit spread curves are essential for analyzing lower-grade bond markets and for the construction of trading strategies that are based on carry and relative...
Statistical learning and macro trading: the basics
The rise of data science and statistical programming has made statistical learning a key force in macro trading. Beyond standard price-based trading algorithms, statistical...
How to estimate factor exposure, risk premia, and discount factors
The basic idea behind factor models is that a large range of assets’ returns can be explained by exposure to a small range of...
Variance risk premia for patient investors
The variance risk premium manifests as a long-term difference between option-implied and expected realized asset price volatility. It compensates investors for taking short volatility...
RECENT ARTICLES
Inflation as equity trading signal
Academic research suggests that high and rising consumer price inflation puts upward pressure on real discount rates and is a headwind for equity market...
Economic growth and FX forward returns
Economic growth differentials are plausible predictors of foreign exchange return trends because they are related to differences in monetary policy and return on investment....
How to use FX carry in trading strategies
FX forward-implied carry is a valid basis for trading strategies because it is related to divergences in monetary and financial conditions. However, nominal carry...