BSIC

BSIC_ML_REGIME Abstract Most systematic trading strategies apply fixed weights regardless of market conditions. A momentum fund stays long whether the market is trending or oscillating. This paper builds and tests…

Download PDF USA US equity markets closed the week with the S&P 500 and Nasdaq Composite both hitting fresh all-time highs on Friday, propelled by a stronger than expected April…

Download PDF Introduction The UK government will spend close to £111.2bn servicing its debt this year, more than the entire schools budget. With 30-year gilt yields at their highest since…

Download PDF Introduction Principal component analysis is widely used for explaining and hedging in the interest rates markets due to its construction based on orthogonality which pairs well with the…

Download PDF Abstract Every empirical study of financial returns since Mandelbrot (1963) has converged on the same short list of stylized facts: heavy polynomial tails, anomalous scaling of volatility with…

Download PDF Introduction “Content is where I expect much of the real money will be made on the Internet, just as it was in broadcasting.” Bill Gates wrote that in…