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 research by the Bocconi Student Investment Club by presenting an alternative approach to the traditional 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 the lens of a parametric model. Implied volatility surfaces are among the most informative objects 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 single session. Marked by a swift de-escalation in the US-Iran tensions, markets have thus experienced Read more…
Download PDF Introduction A persistent feature of short-term interest rate markets is that the rate implied by STIR futures systematically exceeds the corresponding forward rate derived from the swap curve, despite both referencing the same underlying fixing. This article examines this, known as the convexity bias which arises from the Read more…
Download PDF USA US equity markets closed out the final week of Q1 under sustained selling pressure, as the Iran conflict entered its fourth week with the Strait of Hormuz still closed and no clear resolution in sight. The sell-off was broad-based across all major indices and growth-oriented names bearing Read more…
Download PDF Introduction Options are among the most information-rich instruments in financial markets. Unlike traditional asset classes, such as equities or bonds, whose prices reflect a single point estimate of value, options are priced across a continuum of strikes and maturities, which means they embed an entire probability distribution over Read more…
Download PDF USA March’s initial market regime is dominated by a sudden and aggressive return of geopolitical risk premiums and supply-side energy shocks. The American equity markets faced a period of pronounced defensive positioning this week, as the optimism that defined the early weeks of the year has been tempered Read more…
Download PDF Macro overview Can the world’s most privileged issuer face liquidity stress? The U.S. Treasury is considered the most stable market in the world, anchoring global pricing and liquidity conditions. However, 2026 poses an unprecedented challenge for the U.S. Treasury Department. A sizable maturity wall of $9.6tn, accounting for Read more…
Download PDF Executive Summary On February 28th and in the subsequent days the first wave of headlines were released: “Israel and the U.S. Strike Hundreds of Targets: Nuclear Sites and Missile Launchers Hit in the First Wave” – House of Commons Library. “IRGC Launches ‘Operation True Promise 4’: Hundreds of Read more…
Download PDF Technical analysis is often regarded with skepticism in academic finance. It is frequently associated with delusional day traders who attempt to extract signals from price charts, relying on patterns they believe can be visually identified in candlestick formations. Over time, a vast number of technical indicators have been Read more…
Download PDF Introduction One of the biggest concerns regarding participants in the market is volatility. Through the years there have been different ways to model volatility in the market, starting with Black-Scholes that assumes constant volatility. Multiple major models have been developed at the scope of modelling volatility as a Read more…
Download PDF USA US capital markets opened the week lower due to tariff uncertainty. The Supreme Court on Friday 20th ruled Trump’s use of International Emergency Economic Power Act (IEEPA) to enforce tariffs as illegal. The ruling overall appeared to be relatively priced in by the markets as Vix still Read more…
Download PDF USA Following Monday’s bank holiday, U.S. equities posted solid gains through the remainder of the week. The S&P 500 advanced 1.06%, while the NASDAQ Composite outperformed with a 1.37% increase. The Dow Jones Industrial Average rose more modestly by 0.30%. The Russell 3000 Growth (+1.14%) outperformed the Russell Read more…
Download PDF Introduction Commodity-exporting currencies are structurally linked to the prices of their primary exports through the terms-of-trade channel. While this relationship holds in the long run, short-term dislocations frequently emerge due to monetary policy shifts, capital flows, and risk sentiment. This article develops a systematic cross-asset mean-reversion strategy that Read more…
Download PDF Introduction Japan’s general election on 8 February 2026 was the clearest political signal yet that the country is moving into a different macro regime from the one that defined the past two decades. Japan PM Takaichi achieved a historic victory as the LDP secured a two-thirds super majority Read more…