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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. 

Wilmott
Tue 17 Oct 2017
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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. 

Wilmott
Fri 13 Oct 2017
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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. 

The Thalesians - RavenPack
Thu 12 Oct 2017
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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. 

RavenPack
Thu 12 Oct 2017
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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...

Lucena Research - RavenPack
Thu 5 Oct 2017
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Boris Johnson, Yanis Varoufakis And Sir Vince Cable All Have Something In Common

In Dr. Paul Wilmott's latest blog post he highlights what Boris Johnson, Yanis Varoufakis and Sir Vince Cable all have in common as they give their views on Brexit.

Dr. Paul Wilmott
Mon 25 Sep 2017
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How to Succeed in Quant Investing with Big Data Analytics

In this article, Peter Hafez shares his views on what he believes is required to succeed in today's world of quant investing. 

Peter Hafez
Tue 12 Sep 2017
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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.

RavenPack
Tue 12 Sep 2017
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How to use Natural Language Processing for Multi-Topic Quant Investing

In this article, Peter Hafez discusses how investors need the right tools to cut through the noise to uncover the signal behind the latest move in the markets.

Peter Hafez
Wed 23 Aug 2017
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Navigating Stock Market Crashes in the Brexit Trump Era (Presentation Slides)

Presentation slides for Dr. Bill Ziemba's talk - 'Navigating Stock Market Crashes in the Brexit Trump Era'.

William T. Ziemba
Wed 31 May 2017

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