2025 has, thus far, been a better illustration of its role as an uncertainty and volatility hedge. Since the start of the year, markets have been roiled by tariffs, geopolitical conflicts, and the arrival of DeepSeek,
However, in recent weeks, the political landscape took a dramatic shift as Trump regained momentum and now finds himself in the lead once again. With less than two weeks until the election, much can still change, adding to market volatility as investors weigh the implications of different outcom...
MARKET volatilityThis study models and tests empirically the role of public news arrivals in the quote matching across single-stock futures and underlying stock markets-a trading strategy often adopted by algorithmic traders. Our model suggests that quote return correlation across these two markets ...
The results are extraordinary risk adjusted returns at a reasonable level of volatility. Adding fixed income and other diversifying assets, such as gold, to momentum-based portfolios gives substantially more improvement than it does to non-momentum portfolios. We validate eight years of ETF momentum ...
First, a lag of one week (five trading days) is introduced Robustness to volatility clustering in carry trade profits Prior studies have uncovered considerable evidence for volatility clustering in monthly financial time series data (for example, Ding, Granger, 1996, Engle, Lee, 1999, Bollerslev,...
Swiss investment bank UBS has hired former head of electronic equities product for Europe at Barclays Nej D’jelal to lead its cross-asset trading platform Neo, The TRADE understands. D’jelal will join UBS early next year as head of the Neo platform at UBS, sources familiar with the matte...
Cross-asset time-series momentum: Crude oil volatility and global stock markets 2023, Journal of Banking and Finance Citation Excerpt : Moskowitz et al. (2012) introduce the time-series momentum (TSMOM) strategy, which is determined only by an asset's past returns—that is, prior one- to tw...
allocation based on an equal-weight of two z-scores, for macro factors and valuation respectively. Regarding macro factors (growth, inflation, market stress), z-scores are computed as the excess return in the current (“nowcasted”) regime vs full sample return scaled by historical volatility....
chapter. Two changes have occurred; the "small" one is that the volatility of bitcoin has declined, especially relative to other assets such as equities. But the main reason for the change of view is the scale of the build-up of debt post the pandemic, and how this changes the tone of...
Han B, Kumar A (2008) Retail clienteles and the idiosyncratic volatility puzzle. Unpublished working paper Han B, Kumar A (2013) Speculative retail trading and asset prices. J Financ Quant Anal 48:377–404 Article Google Scholar Harvey CR, Siddique A (2000) Conditional skewness in asset pric...