Equities
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
An empirical study of the contrarian strategy against US equities in the Japanese market
This paper investigates the contrarian strategy against US equities, finding that for samples where the previous day's daily return on the S&P 500 is positive (negative), the next day's intraday returns on Japanese stock-index futures will be the inverse…
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
People: Finma CEO quits, Citi’s dealmaking promotion, and more
Latest job changes across the industry
US banks reshaped liquidity buffers in Q2
Truist, BofA and US Bancorp lead highly liquid assets pile-up
Industry divided on whether Europe should delay FRTB
Most bankers prefer to keep to earlier start date, even though it puts continent out of sync with US
Industry aims to Fix patchy exchange outage comms
A Fix working group is hoping to standardise the way that venues communicate with the sell side when tech glitches strike
Goldman’s Marquee is a gradual revelation
Multiple apps are being corralled into a sticky cross-asset ecosystem, updated with Python and cloud
Diversification is even better than a free lunch – study
Data back to 1926 shows that spreading bets brings higher returns as well as lower risk
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
GFXC fosters global awareness of T+1 impact on FX
Risk Live: Many non-US firms yet to realise FX implications of the country’s shift to shorter settlement times
Taking stock: putting a price on US bank regulation post-SVB
Tougher requirements could “blow a hole” of 200+bp in regulatory capital ratios – and cripple equity returns
Asia moves: Senior hires at Nomura, HKEX and more
Latest job news from across the industry
HFT activity increases periodic auctions costs
Eightfold jump in market impact as more trades head to once-benign execution format
No big boost to UK dark trading after Brexit
Expected explosion in hidden equity liquidity has failed to materialise
Equity traders ticked off by SEC price increment plan
BlackRock and Citadel Securities push back on minimum price increments for OTC equities trades
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
‘Spectacular’ vol disconnect ‘ominous’ for risk assets
Historic divergence has caught the eye of Boaz Weinstein and others
Club rules? How German retail trading venues shut out PTFs
Murky rule books prevent non-bank market-makers from competing for Europe’s growing online customer demand
Industry fears burden of SEC’s giant equity market makeover
Even buy-side representatives warn the impact of retail order auctions is unpredictable