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Quantpedia Research Review - Issue 7

Issue 7 explores equity factor models, discusses how political beliefs impact fund managers’ decisions, and reviews the new BERT large language model (LLM).

Quantpedia
Thu 25 May 2023
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Quant Insights Conference: How Quantum Should Change the Way We Think About Finance

In this panel discussion led by David Orrell, Principal, Systems Forecasting, participants Professor Andrew Sheng, Chief Advisor, China Banking and Insurance Regulatory Commission, Esperanza Cuenca-Gómez, Head of Strategy and Outreach, Multiverse Computing, and Dr. Taha Jaffer, Head of Wholesale Banking and Treasury AI, Scotiabank, share their views on the current quantum evolution in finance.

David Orrell, Professor Andrew Sheng, Esperanza Cuenca-Gómez, Dr. Taha Jaffer
Mon 1 May 2023
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Using Zweig’s Monetary and Momentum Models in the Modern Era

In this article, the author explores Mark Zweig's Monetary and Momentum Models and sees how well they work in our current markets with low interest rates and much programming and high-frequency trading.

William T. Ziemba
Wed 19 Apr 2023
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The Little Heston Trap

This article explains the properties and relations between the two versions of the characteristic function in the Heston model, which are solutions to a Riccati equation. This is important for addressing numerical issues caused by "branching" in finance, which has been amplified by the development of the general option pricing formula by Carr and Madan.

Hansjörg Albrecher
Wed 19 Apr 2023
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Quantpedia Research Review - Issue 6

Issue 6 investigates different variance risk premium strategies, explores the role of gold as a crisis hedge, and tests ChatGPT’s abilities.

Quantpedia
Wed 19 Apr 2023
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Developments and Applications in Machine Learning in Portfolio Management

Read a summary of the panel discussion from the 2023 Portfolio Management in Quant Finance Conference.

Barbara Mack
Fri 14 Apr 2023
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Quantpedia Research Review - Issue 5

Issue 5 explores ESG funds and greenwashing, reviews size factor as an investment choice and investigates price reaction around Bitcoin and Ethereum networks.

Quantpedia
Thu 23 Mar 2023
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The Fed Isn’t Federal – And Other Odd Things in Finance

In this paper, Rolf Poulson gives notice to misunderstandings in quantitative finance that range from amusing to genuine obstacles.

Rolf Poulsen
Thu 23 Mar 2023
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Approximation of Continuous Monitoring with Discrete Monitoring Applied to Down—And—Out Options

In this paper, Stefan Ebenfeld and Damaris Hilzinger consider down—and—out options in the Black—Scholes framework.

Stefan Ebenfeld and Damaris Hilzinger
Thu 23 Mar 2023
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Quantitative Finance: Skills of the Future

Read the write-up from the February 2023 careers talk, 'Quantitative Finance: Skills of the Future'.

Barbara Mack
Mon 27 Feb 2023

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