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Primer on Arbitrage and Asset Pricing
In this paper, the authors go back to basics with arbitrage and asset pricing.
Thu 19 Oct 2023
CDOs in Chains
In this paper, the authors explore the pricing of CDOs in a Markov chain framework.
Thu 19 Oct 2023
Quantpedia Research Review - Issue 12
Issue 12 explores seasonal patterns related to Bitcoin, investigates the diversification potential of commodities, and discusses how machine learning can be used in quantitative trading.
Thu 19 Oct 2023
Quantpedia Research Review - Issue 11
Issue 11 explores technical analysis patterns, investigates long-short anomaly portfolio return predictability, and discusses the performance of factor strategies in India.
Fri 29 Sep 2023
An Introduction to the Generalized Marginal Risk
In this paper, the authors present the concept of generalized marginal risk.
Fri 22 Sep 2023
The Value of Liquidity
In this article, the authors present a game-theoretic example that helps to illustrate the value of liquidity.
Tue 22 Aug 2023
Quantpedia Research Review - Issue 10
Issue 10 discusses how beta adjusting equity factor leads to better strategies, explores the top models for Natural Language Understanding (NLU), and provides an analysis of factor investing funds.
Tue 22 Aug 2023
Improving the Initial Margin Model
Stuart Smith examines ISDA’s response to the PRA’s comments of SIMM and explores the implications of this for the derivatives market.
Wed 19 Jul 2023
The Implied Loss Surface of CDOs
In this article, the authors describe how to determine the implied loss distribution of a credit portfolio from CDO tranche quotes.
Mon 17 Jul 2023
The Financial Heat Machine: Coupling With the Present Financial Crises
In this article, the author considers dynamics of financial markets as dynamics of expectations of people acting on them and discusses it from the point of view of phenomenological thermodynamics.
Mon 17 Jul 2023
