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 Introduction This article expands on BSIC’s previous work on systematic credit by investigating further the use and implementation of factors in the investment-grade corporate bond market. The article starts by discussing the definition of factors used in the analysis and presents two different approaches to the construction and Read more…
Download PDF Introduction In this article we present a systematic, factor-based approach to credit investing. Our aim is to give the reader a wholistic view of the process that brings to life a systematic investment strategy: from the collection of data, a non-trivial task within the credit space, to the Read more…
Download PDF Introduction “When I see a bubble forming, I rush in to buy, adding fuel to the fire.” This is a famous quote by George Soros. It probably inspired Jarrow and Kwok to write their paper, Inferring Financial Bubbles from Option Data where they attempt to take advantage of Read more…
Download PDF Introduction Convertible bonds are a unique way of raising capital which allows investors to convert the security into a predefined number of shares of common stock given by the conversion ratio. Convertible bonds have a long history, dating back to the 19th century when American railway firms were Read more…
Download PDF Introduction In 2022, rates traders have had to navigate a landscape of deteriorating liquidity in sovereign debt markets. Over the past few years, there have been multiple episodes of severe illiquidity in US Treasuries and related markets. Firstly, US repo rates spiked in September 2019, with intraday secured Read more…
Download PDF A persisting trend DISCLAIMER: The EURUSD pair is an exception to general FX notation. We comply with the quoting convention adopted in the industry: when the Dollar strengthens against the Euro, EURUSD moves lower, and vice versa. For charting purposes, however, we use the USDEUR time series. The Read more…
Download PDF Introduction Statistical arbitrage is a class of trading strategies that profit from exploiting what are believed to be market inefficiencies. These inefficiencies are determined through statistical and econometric techniques. Note that the arbitrage part should by no means suggest a riskless strategy, rather a strategy in which risk Read more…
Download PDF Introduction about Fintech In the years following the financial crisis of 2008, regulators have focused their attention on making the financial system a much safe a place as possible, in particular adopting new regulations for traditional financial institutions. Meanwhile, in places like Sillicon Valley, London, and in parts Read more…
Download PDF Introduction One of the most basic tools used by traders to manage risk is a simple order given to a machine, the stop-loss order. Despite being accessible to all retail traders through their online brokers, it is often neglected or misused. In the first part of this article Read more…
Download PDF Introduction Stock exchanges are sometimes considered simply as marketplaces where any investor with a brokerage account can participate in transactions with basic financial securities such as stocks or bonds, or more complex ones such as ETFs and derivatives. However, stock exchanges are also businesses that, like any other Read more…
Download as PDF Morgan Stanley [MS:NYSE] – Market Cap as of 06/3/2020: $64.116bn E*Trade [ETFC:NASDAQ] – Market Cap as of 06/3/2020 $9.33bn Introduction On Feb 20th 2020, Morgan Stanley announced it was looking to buy E*Trade in a $13bn deal, all stock deal—the largest acquisition by a U.S. bank since Read more…
Equity put-option writing strategies represent an alternative to attain equity-like returns with less volatility. In fact, by writing a put-option the seller collects the option premium and gains exposure to value changes in the underlying equity. The Chicago Board Options Exchange (CBOE) publishes already since 2007 daily return data for Read more…
“Make all the trades through the dark pools so it masks what we’re doing. That way we’ll preserve our head start, which will not be a long one.” This is how Bobby Axelrod instructs his traders to get rid of his natural gas positions in the latest episode of the Read more…
Introduction In the midst of a particularly cold North American winter induced by an unexpected southwards movement of the polar vertex in late December 2017, New York Harbor Heating Oil surged nearly 15% from its December low through the end of January. This important petroleum middle distillate often used for Read more…