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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 jobs report and continued AI Read more…
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 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 Read more…
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