Download PDF Introduction Economics and the world economy are peculiar for being so unpredictable. The constant involvement of human beings leads them far from being an exact science. Correspondingly, financial markets are even more uncertain, constantly driven by human behaviour. For this reason, the idea that one very simple predictor Read more…
Download PDF Introduction In his famous speech on July 26, 2012 at UKTI’s Global Investment Conference, Mario Draghi emphasized on the ‘irreversibility’ of the euro and ECB’s preparedness to do ‘whatever it takes’ to preserve it. The macroeconomic European atmosphere at the time was defined by uncertainty and financial troubles, Read more…
The past summer has been quite hot: we saw unexpected Brexit, Turkish failed coup, the presidential campaign in the US is on the peak, and EMs are bursting out of inflows. On the backdrop of all these events, one very interesting trend may have left out of the scope of Read more…
The 24th May 2015 marks an unprecedented change in Poland’s direction under many aspects. On that day Andrzej Duda, candidate of the Law and Justice party (PiS, abbreviation of “Prawo i Sprawiedliwość”) won the presidential elections, defeating the incumbent president Bronisław Komorowski, for the Civic Platform (PO, “Platforma Obywatelska”). Probably Read more…
One of the tools traders have found to cope with the shortcomings of the Black and Scholes models has been to allow for non-flat volatilities, which means that the implied volatility of an option does not depend merely on the historical volatility in the underlying, but also on the strike Read more…
In our May article (https://bsic.it/chinese-divergence-real-vs-financial/), we underlined how many difficulties China faced. We also analysed the development of a stock market bubble in the Shanghai Composite equity index (SHCOMP) and in the Shenzhen CSI 300 (SHSZ300) equity index. This summer saw that bubble bursting. The SHCOMP was trading at 3,185 Read more…
We are proud to publish a comprehensive report on one of the most promising emerging markets of the year: Mexico. Mexico finds itself in between two different and opposite macroeconomic forces: on one side, reduced cost of power will significantly lower the production costs of Mexican manufacturers; on the other side, Read more…
As everyone knows, a commodity is a raw material – fungible by definition – that is supposed to trade in any market of the world for the same price. But when it comes to crude oil, things are not as simple. As it is widely known, the two main qualities Read more…
Lately, there has been increasing speculation regarding the results of the AQR (Asset Quality Review), which will be published by the ECB in about a month time. The AQR is a central part of the “comprehensive assessment” investigation that the ECB is leading on European banks balance sheets. Working in Read more…
Two days ago, during its regular policy meeting, the ECB left interest rates unchanged and Mario Draghi said the “council was comfortable acting next time.” He signaled that there was a unanimous belief that the current inflation rate of 0.7% is unacceptable. He also stated that the strength of the Read more…
Pirelli has been under the spotlight since the beginning of the past week. The company, which is among the main players in the global tyre industry and leader in the high-end segment of the sector, has been characterised by a reorganisation of the shareholders structure. Rosneft, the biggest oil producer Read more…
When we analysed luxury stocks, we stressed that the industry has faced a downturn, probably due to a kind of sector rotation. The same phenomenon has affected European banks and utilities in the opposite way. In this article, we focus on banks, proposing some ideas on how to trade them. Read more…
Given the turbulence in the implied volatility observed in the aftermath of Apple’s Q1 results, we adopt a sophisticated quantitative model to better understand its dynamics. What we have observed so far in the option market is a large decrease in the 1-month implied volatility, and a sustained level of Read more…