Download PDF Introduction In this article we present a conditional latent factor approach to decompose US equities returns into systematic latent components and idiosyncratic residuals. The aim of the article is to expand on previous Read more…
Download PDF Introduction Across different asset classes, volatility surfaces all tell different stories: in this article we let the data tell them unfiltered, building each surface directly on market quotes through interpolation rather than through Read more…
Download PDF USA US equity markets had a remarkable week. S&P 500 rose by 4.54% WoW, hitting a new record high on Wednesday, and DJIA grew by 3.20% WoW, jumping nearly 868 points in a Read more…
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