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By Thorsten Wegener October 09, 2019 | In: Deep Dives | Credit, Equities, FX, Investment Strategy & Asset Allocation, Rates

What’s In The Box? From Dead Cats To Implied Volatility

The Eye of Horus was a symbol used to protect pharaoh in the afterlife and to ward off evil. Exchange ‘afterlife’ with…

By Bilal Hafeez October 09, 2019 | In: Deep Dives | Equities, Investment Strategy & Asset Allocation

Introducing A New Risk Measure: The Price Of Volatile Stocks (PVS)

Economists like Keynes, Minsky, and Kindleberger have highlighted the importance of shifting perceptions of risk in driving markets and the economy. When…

By Bilal Hafeez October 09, 2019 | In: Deep Dives | FX, Growth & Labour Market, Investment Strategy & Asset Allocation

A Trading Model For Currencies Using Growth

Currency markets often confound investors. Unlike equities or bonds, they are a long-short market, so if you buy one currency – say…

By Presiyana Karastoyanova September 25, 2019 | In: Deep Dives | Economics, Investment Strategy & Asset Allocation

How Investors Lose Money When They Sell (3 min read)

Investors Behave the Same When They Buy and Sell, Don’t They? There is ostensibly no reason why an investor’s skill would differ…

By Bilal Hafeez September 25, 2019 | In: Deep Dives | China & Hong Kong, Economics, Growth & Labour Market

What’s Wrong with Chinese GDP Data? (2 min read)

Scepticism has always surrounded Chinese growth data, especially its GDP statistics. The data is released extremely quickly after the end of a…

By Cheryl Liu September 25, 2019 | In: Deep Dives | Economics, Growth & Labour Market, US

Improving Forecasts for US Payrolls (3 min read)

For government agencies and economic policymakers, assessing the performance of the labour market significantly aids their decision making. Every post-war recession in…

By Bilal Hafeez September 11, 2019 | In: Deep Dives | Business & Technology, Economics, Growth & Labour Market

The Post-Globalisation Economic Model (4 min read)

Dani Rodrick. Straight Talk on Trade: Ideas for a Sane World Economy (Princeton: Princeton University Press, 2018), 336pp. Reviewed by Bilal…

By Bilal Hafeez September 11, 2019 | In: Deep Dives | Commodities & Energy, Credit, Equities, Investment Strategy & Asset Allocation, Rates

Factor Premia: The Best Long-Term Investment Strategy? (5 min read)

The holy grail of financial market investing is to find investment or trading rules that consistently make money over time. And while…

By Thorsten Wegener September 11, 2019 | In: Deep Dives | Equities

Gamma, Gamma, Gamma: A Move after Midnight (6 min read)

With the S&P 500 and almost every other major index at critical junctures, loading up on gamma could be a smart move.…

By Bilal Hafeez May 21, 2019 | In: Deep Dives | Credit, Data, Models & Market Infrastructure

Give Credit Where Credit Is Due: What Explains Corporate Bond Returns?

Give Credit Where Credit Is Due: What Explains Corporate Bond Returns? AQR paper finds finds that options markets explain a great deal…

By Bilal Hafeez May 21, 2019 | In: Deep Dives | Economics, Monetary Policy & Inflation, US

The Risk of Returning to the Zero Lower Bound

The Risk of Returning to the Zero Lower Bound San Fran Fed writes “that there currently appears to be a low risk of…

By Bilal Hafeez May 21, 2019 | In: Deep Dives | Economics, Europe, Monetary Policy & Inflation

Interest rates, excess liquidity and retail deposits: banks’ reaction to unconventional monetary policy in the euro area

Negative interest rates, excess liquidity and retail deposits: banks’ reaction to unconventional monetary policy in the euro area ECB finds that negative…

By Bilal Hafeez May 13, 2019 | In: Deep Dives | Monetary Policy & Inflation, US

The Empirical (Ir)Relevance of the Zero Lower Bound Constraint

Finds that hitting ZLB doesn’t reduce the effectiveness of monetary policy Click here for the full article: The Empirical (Ir)Relevance of the…

By Bilal Hafeez May 13, 2019 | In: Deep Dives | Data, Models & Market Infrastructure, Equities

Premium for Heightened Uncertainty: Solving the FOMC Puzzle

Finds and explains why stock markets make gains ahead of FOMC days (and key data releases). Click here for full article: Premium…

By Bilal Hafeez May 13, 2019 | In: Deep Dives | Data, Models & Market Infrastructure

Systematic Trading Strategies: Fooled by Live Records

Good note on how the mass production of model trading strategies leads to survivorship bias issues. Clicke here for full article: Systematic…

By Bilal Hafeez May 07, 2019 | In: Deep Dives | Equities

Variance Risk Premium Components and International Stock Return Predictability

Variance Risk Premium Components and International Stock Return Predictability Fed paper finds that decomposing variance premium (VP) into its downside and upside…

By Bilal Hafeez May 07, 2019 | In: Deep Dives | Rates

Decomposing Changes in the Functioning of the Sterling Repo Market

Decomposing changes in the functioning of the sterling repo market BoE finds changes in gilt repo market functioning over the past five…

By Bilal Hafeez May 07, 2019 | In: Deep Dives | Monetary Policy & Inflation

Improving the Phillips Curve with an Interaction Variable

Improving the Phillips Curve with an Interaction Variable San Fan Fed finds that modifying the Philips Curve with a multiplicative combination of…

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