In the world of fixed income markets, hedging against interest rate exposure is one of the most essential aspects of risk management. This is especially true for market makers. Client trades leave the desk with exposure to rate risk across the tenors clients trade and due to adverse selection
US markets ended the week with a relief rally after September’s employment report on Friday weakened the probability for another immediate Federal Reserve rate increase later in October. Nonfarm payrolls rose by just 29,000, while the unemployment rate rose up to 4.2%. July and August employment gains were revised down by a combined 60,000. Wage growth also fell to its lowest annual level since May 2021
Most of the work on a trading idea goes into finding an edge. Much less goes into the second question, which is how much capital to put behind it, even though a good bet sized badly can still lose money. A simple experiment reported by Haghani and White [2] makes the point.
Mexico’s government-bond curve presents an unusually steep front-to-intermediate structure, but the distinction between a steep macro curve and a locally cheap five-year bond has become increasingly important.
US markets spent the past week caught between a bond-market rout and a fresh AI-driven equity rally, with a de-escalating oil story easing the pressure by Friday. Wednesday, was the week’s real inflation point on the data front: the S&P Global flash PMI’s came in far stronger than expected. Manufacturing jumped to 57.0 from 53.9 (vs. 53.6 expected), Services rose to 58.7 from 56.5 (vs. 56.0 expected), and the Composite climbed to 58.4 from 56.0.
This article is the first in Trading the Network, a seven-part series investigating whether relationships across financial assets contain predictive information that can ultimately be converted into tradable signals. Part I establishes the baseline by asking whether a simple network of historical return correlations
Salzgitter AG (SZG GR): BUY
Target Price EUR 70, 26% Upside, 12 to 18 Month Horizon
Note: this piece was written in September 2026 with the shares trading at EUR 55.65, which is the reference price behind every multiple and every per share figure below. Sell side estimates cited are Deutsche Bank.
This week, the US equity market experienced considerable volatility, driven by oil prices, the Fed and AI safety concerns. At the start of the week, drone and shipping attacks near the Strait of Hormuz pushed WTI towards $106 per barrel by Tuesday, hitting equities. That revived inflation fears, pushing the 10-year Treasury yield up to near 5%. Additionally, Anthropic CEO Dario Amodei’s essay on AI safety concerns…
Around the same time last year, we published our first article covering the Dutch Pension Reform and its potential implications on markets. The Dutch pension reform appeared to offer a relatively clear opportunity in European rates markets. As pension funds moved away from defined-benefit promises, their need to hedge ultra-long liabilities was expected to decline.
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 jobs report and continued AI earnings momentum, with the Nasdaq surging 4.51% on the week and the S&P 500 gaining 2.34%: marking the sixth consecutive winning week for both indices. The Dow lagged with a marginal +0.22% gain, dragged by Thursday’s broad sell-off.
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 multicollinearity prevalent in rates. Its explanatory power is able to consistently explain over 95% of the variance in yield curve Read more…
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 the aggregation horizon, power-law persistence of absolute returns, multiscaling across moment orders, and vanishing linear autocorrelation. These regularities are robust Read more…
Download PDF In this article, we introduce the Gauss+ model for the yield curve. The model belongs to a wider class of models called Affine Term Structure Models (ATSMs) which serve the purpose of modelling the short rate for the pricing of risk-free term structures. These models typically link the Read more…
Download PDF Introduction Lead-lag relationships describe a simple claim: asset X may embed information about asset Y at two different points in time. If this delay is systematic and measurable than a model can exploit such a structure to produce forecasts and ultimately trading signals. The challenge is that the Read more…
Download PDF USA U.S. equities extended their rally this week, with the S&P 500 (+0.9% w/w) and the Nasdaq Composite (+1.1% w/w) both closing at fresh record highs, as investors looked through a still-challenging macro backdrop and focused instead on a crucial earnings test for mega-cap tech. The week made Read more…