Faye Kilburn
RiskNet
New York, NY, United States
Contact Faye
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Past articles by Faye:
The haves and the ‘have bots’: can AI give vol forecasters an edge?
Firms look to machine learning and natural language processing to gain advantage over peers → Read More
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more and more investors into low volatility strategies, raising fears of a build-up of risk → Read More
Cross-sectional stock volatility lifts value factor
In a year when mainstream markets tumbled, quants say scattered valuations across stocks have contributed to the success of one investment style in particular – value. So-called 60/40 portfolios, a mixture of stocks and bonds, are facing the worst returns for a century, according to analysts at Bank of America Global Research. Statistical arbitrage hedge fund QuantZ’s ValMo (value plus momentum)… → Read More
How to hone NLP’s detection skills: a cue from a super-sleuth
With a sharper focus, AI readers could help detect hidden exposures for investors → Read More
No link between geopolitical risk signals and returns – hedge fund
Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds → Read More
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters → Read More
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it → Read More
Correlation ‘is not causation’ for rates and value stocks
Some quants remain unconvinced by the ‘great rotation’ away from growth → Read More
Hedging inflation may never have been trickier
Effective hedging depends on what’s causing prices to rise → Read More
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter → Read More
Machines say: ‘Ignore the spread in merger arb’
Closely watched arbitrage spread poor predictor of a merger deal’s success, quant firm finds → Read More
Quant funds tackle chronic overfitting in crypto strategies
Firms adapt backtests and tread lightly to address “huge” overfitting risk, magnified by scarce data → Read More
AI helps one investor screen targets against UN ethical goals
PanAgora develops two-stage process that aims to weed out the greenwashers → Read More
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets → Read More
How algos are helping inflation-wary investors
Buy-siders look to machine learning for clues on the effect of rising prices on portfolios → Read More
Not so green machine? Questioning commodities’ credentials
As ESG investors eye commodities, issues around measurement and management are unearthed → Read More
Quant fund aims to tame bitcoin, and 39 other digital assets
Ex-Morgan Stanley, Winton vets reimagine institutional risk management for volatile crypto markets → Read More
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout → Read More
Investor crowds have blunted nowcasting returns, quants say
Buy-siders see shrunken returns in predicting near-term earnings → Read More
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others → Read More