Rob Mannix
RiskNet
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Past articles by Rob:
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024 → Read More
Inflationary forces (and microbial soups)
The hold of central banks over inflation may be weaker than we thought → Read More
When markets offer lemons, Lynx makes lemonade
Swedish asset manager has had bumper year with trend-following platform tailored for troubled times → Read More
Citi quants’ AI model aims to hedge earnings surprises
Machine learning tool forecasts effect of shocks on implied volatility surfaces in minutes → Read More
Fragile liquidity puts markets in the ‘danger zone’
Some measures of trading conditions are as poor as in 2008 → Read More
Are decentralised exchanges the future for trading?
Success of blockchain venues has implications even beyond crypto → Read More
Terrance Odean on the $2.8bn catch in zero-commission trading
Berkeley professor’s research on the true cost of retail trading has caught the eye of regulators → Read More
It’s amateur hour: how retail traders upended options market
Cutting-edge data shows non-professionals are driven by news events and desire to make a quick buck → Read More
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity → Read More
JP Morgan quants are building Deep Hedging 2.0
New model uses Bellman technique to learn general derivatives hedging strategies → Read More
Why machine learning quants need ‘golden’ datasets
An absence of shared datasets is holding back the development of ML models in finance → Read More
Why even the safest stablecoins could fail
Settlement delays, insolvency risks mean collateralised coins could falter → Read More
Designed to fail: terra and the limits of arbitrage
Speculative ‘attack’ exposed fundamental flaws in crypto’s algorithmic stabilisation mechanism → Read More
Trend following’s bumper returns mask fading convexity
Research suggests strategy is no longer a reliable hedge against stock market crashes → Read More
From ‘cottage industry’ to quant-ready: prop data at JP Morgan
Unique information now “table stakes” for brokers as they compete for new clients → Read More
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’ → Read More
Ukraine conflict reminds quants that operations matter
Quants cannot ignore real-world frictions such as sanctions and market closures → Read More
Analysts reveal more than company execs on earnings calls – AB
Sentiment signals derived from what analysts say beat those based on bosses’ responses, say quants → Read More
Adia wealth fund is building supergroup of quant investing
Abu Dhabi Investment Authority wants to turn systematic investing into a ‘good science’ → Read More
How NN IP uses machines to read the market – and itself
Dutch manager being acquired by Goldman uses machine learning to ‘augment’ its analysts → Read More