Markets . Quantitative Finance . Senza categoria### Trading Volatility Using Options: a French Case

On 2 April 2017 by BSIC

Introduction Volatility is a key feature of financial markets. It is commonly used as a measure for risk and is a common an indicator of the investors’ fear and concern about the future. While higher volatility means bigger profits and losses in a directional strategy (one which bets on a future movement of the price

Equity Indices . Markets . Quantitative Finance . Senza categoria### A Primer on Risk-Parity

On 19 February 2017 by BSIC

The concept of risk parity is not well-known among market participants. However, its resiliency to different market environment makes it a very interesting capital allocation strategy. It was first theorized in the sixties by Ray Dalio – founder of Bridgewater Associates – when he tried to find an answer to the following question: “What kind

Equity Indices . Markets . Quantitative Finance . Trade Ideas### Special Report: When the Bull Bursts the Bubble, the Bear Arrives

On 20 November 2016 by BSIC

The main purpose of the following Special Report is to understand how bear and bull markets develop over time and how it is possible to forecast their path. With respect to forecasting bear markets, our focus will be on non-parametric models developed following the algorithms of Bry and Boschan (1971). This will lead us to

Currencies . Equity Indices . Markets . Quantitative Finance### Volatility Shapes

On 6 November 2016 by BSIC

The famous Black-Scholes model is a mathematical model used for pricing financial derivatives. It is particularly useful because it offers an explicit formula for the value of a European option in terms of time to expiry of the contract T, risk-free interest rate r, strike price of the option K, price of the underlying at

Markets . Quantitative Finance### When dealing with multiple stocks

On 8 May 2016 by BSIC

In finance, a covariance matrix can be a useful tool to estimate the cross correlations between different stocks. However, historical data contains random noise, which can alter the underlying information. Here we illustrate how Random Matrix Theory can be used to filter a diagonalisable matrix and how information about the market is carried inside its eigenvectors.

Currencies . Markets . Quantitative Finance . Trade Ideas### Behind the Yen rally: Japan’s era of negative rates

On 17 April 2016 by BSIC

Japanese Yen touched a 17-month high of Y107.61 versus the US dollar this Monday. The safe haven currency has rallied more than 10 percent after Bank of Japan’s surprising negative interest rate decision on banks’ excess reserves in late January. Japanese government also sold 10-year bonds with a yield below zero for the first time.