Download PDF Introduction In this article, we introduce the main market-traded credit derivatives, with a particular focus on Credit Default Swaps (CDS). After explaining how they work, we delve into the terminology and pricing mechanisms, covering single-name CDS, indices such as iTraxx and CDX, and CDS options. Next, we explore Read more…
Download PDF Introduction Momentum has long proven to be a reliable and empirically supported factor in equity strategies across developed markets (DM). Seminal work by Jegadeesh and Titman (1993) found that stocks with strong past returns over a 3–12 month period tend to continue outperforming in the following months. Later, Read more…
Download PDF USA Major US equity indices staged a dramatic rebound this week, reversing much of the prior week’s steep losses triggered by tariff fears. The S&P 500 rose 7.82%, the Dow Jones gained 7.59%, and the Nasdaq outperformed with a 9.18% surge. Volatility remained elevated throughout the week, with Read more…
Download PDF Introduction In this article, we explore how optimising entry and exit points can improve the performance of mean reversion strategies, specifically within a purchasing power parity (PPP) framework. We address this optimisation challenge, by exploring two complementary approaches: a theoretical model-based approach and a numerical method. Due to Read more…
Download PDF USA The major US equity indices ended the week with sharp declines on Friday, suffering their most significant losses since the 2020 COVID-19 crisis, as a consequence of the new US tariffs announced on Wednesday, which exacerbated investor fears, leading to a worldwide sell-off. The S&P 500 tumbled Read more…
Download PDF Introduction Short-rate martingale models were among the first approaches to the modelling of interest rate term structures, providing a flexible framework for pricing fixed-income securities and interest rate derivatives. These models describe the evolution of the continuous short rate as a stochastic process and are widely used in Read more…
Download PDF Introduction Trading strategies revolve around several sources of edge, ranging from discretionary macro ideas, fundamental based stock picking to more sophisticated ones such as factors exposure or high-frequency algorithms. One area which the current literature pays little attention to is sentiment trading, which can be established in several Read more…
Download PDF Introduction In this article, we determine whether recurrent neural networks can unlock any meaningful predictive power from a given feature set in forecasting corporate bond returns – or if the data is too noisy to yield reliable predictions. We explore whether these forecasts can be leveraged into building Read more…
Download PDF Introduction/Recap: This article is intended to be a continuation of the previous “Well, CAN THEY PREDICT?” article which was focused upon developing methodology to price Kalshi weekly prediction contract probabilities of being in-the-money (specifically those functioning as a BTC digital option) using a risk-neutral framework upon stochastic processes. Read more…
Download PDF USA The major U.S. indices ended the week on a negative note on Friday, due to heightened inflation fears and uncertainty surrounding trade policies. On Friday, the S&P fell by 2%, the Dow Jones dropped by 715 points, and the Nasdaq tumbled by 2.70%. The sell-off was led Read more…
Download PDF USA Major U.S. indices managed to close in positive territory on Friday, recovering from earlier losses after President Trump suggested some flexibility on tariffs, while several megacap stocks had a comeback. The S&P 500 edged higher by 0.1%, the Dow Jones added 32 points, and the Nasdaq gained Read more…
Download PDF Introduction In this fourth episode of the Backtesting Series, we will get into Portfolio Construction & Portfolio Optimization processes with a deep focus on MVO. If you haven’t already, we recommend reading the first three episodes before proceeding with this article. Please note that the series will include Read more…
Download PDF Introduction Behavioral finance challenges traditional assumptions of rational investor decision-making as behavioral biases systematically influence investment decisions in the financial world. This article explores how these biases influence investment decisions and examines how financial product design can exploit or mitigate such biases. First, we explain the fundamental concept Read more…
Download PDF Introduction What are the main differences between different European economies right now? Will the two traditionally strongest nations be able to recover from these years of weak economic performance and political uncertainties? In this article we will try to tackle these questions, as well as exploring the principal Read more…
Download PDF Introduction This article explores how Hierarchical Risk Parity (HRP) compares to other portfolio optimization strategies, particularly those based on volatility and traditional portfolio theory. To rigorously test this approach, we constructed a portfolio that rebalances on the first tradable day of December each year from 2005 to 2025. Read more…