How to Trade Football Clubs: A Case Study on Juventus
In this article we analyze how to set up trading strategies on listed football clubs exploiting the peculiar behaviour of returns and implied volatility in correspondence to UEFA Champions League...
View ArticleAdvanced ETF Mechanics and Its Flaws
In this article we will skip the introduction of the very fundamental characteristics of ETFs and focus on the more advanced mechanics, here meaning the different replication methods accompanied by a...
View ArticleMarket Recap 07/04/2019
US With the beginning of the earnings season this week FactSet reported that in the first quarter analyst lowered earnings-per-share estimates by 7.2%, the largest decline since 2016 Q1. One of their...
View ArticleGreexotics – A first step in the land of exotic derivatives greeks – Part 1
How does the Delta of a lookback option behave? What is Cross-Gamma? Is the Vega of a digital option ever negative? And furthermore, how do these exotic greeks (“greexotics) evolve as time passes and...
View ArticleDark Pools: Fifty Shades of Trade
“Make all the trades through the dark pools so it masks what we’re doing. That way we’ll preserve our head start, which will not be a long one.” This is how Bobby Axelrod instructs his traders to get...
View ArticleMarket Recap 14/04/2019
US This week, the two major economic data that we see important at the US are: the monthly CPI which was recorded as 0,1% ,slightly below the 0,2% expectations, and the monthly PPI which was recorded...
View ArticleIndian Election 2019 – World’s Biggest Parliamentary Exercise And What’s In...
India, the world’s largest democracy with 900 million eligible voters, is currently engaged in one of the most complex voting exercises around the modern democratic world. The sheer logistics of the...
View ArticleThe Rising Sun Shadow over Europe: is the fear of European Japanification real
Intro Recently, fears for an “European Japanification” have regained popularity due to raising concerns about the growth’s slowdown and similar underlying long-term dynamics of the two economies. In...
View ArticleMarket Recap 28/04/2019
US During the trading week S&P500 and Nasdaq have increased their market value while the Dow Jones 30 has been quite steady. The S&P500 has closed the week at 2940, increasing by 1%, while the...
View ArticleWind of change: VIX futures strategies
Introduction 2018 will be remembered by many investors as a difficult year. In sharp contrast to 2017, when S&P500 was performing spectacularly (+19.4% YoY), 2018 brought a bitter disappointment to...
View ArticleGreexotics – A First Step in the Land of Exotic Derivatives Greeks – Part 2
Following the first article of the series in which we analyzed the greeks of a Binary option, in this second part of the series we would like to introduce Asian options and their greeks. Asian options...
View ArticleMarket Recap 05/05/2019
US On Wednesday, following the FED committee’s meeting, Jerome Powell announced that the US central bank is leaving interest rates unchanged by saying that “we don’t see a strong case for moving...
View ArticleOverhaul of Common Practices in Finance with Network Models
Download as PDF Introduction In many financial studies the default assumption is that changes in prices are random and independent between different financial instruments. Opposing studies, thus, are...
View ArticleMarket Recap 01/03/2020
Download as PDF United States The US markets experienced the worst week since 2008 due to a massive sell off caused by coronavirus uncertainty. S&P500 closed at 2954.22 with a weekly loss of a...
View ArticleDemocratic Primaries: A markets perspective Part 2 – The Super Tuesday Follow-Up
Download as PDF Introduction Back in December we published an Article called “Democratic Primaries: A markets perspective” in which we provided an overview of the most significant Democratic...
View ArticleMarket Recap 08/03/2020
Download as PDF US US market ended another wild trading week with a slight gain after last Friday substantive losses. S&P500 closed at 2,972.37, with a weekly gain of 0.61%. Dow-Jones Industrial...
View ArticleNegative interest rate policy – friend or foe?
Download as PDF Introduction Interest rates have been persistently low across several advanced economies since the Global Financial Crisis. As short- and medium-term rates approached zero, central...
View ArticleIf volatility be rough with you, be rough with volatility
Download as PDF The purpose of this special report is to introduce the emerging class of rough volatility models. Rough volatility is a relatively new concept originating from the empirical observation...
View ArticleFrom LIBOR to SOFR, the benchmark transition – Pt.1
Download as PDF Introduction Since the 2008 Crisis, several events have undermined the global trust in the major financial benchmarks. Above all, the London Interbank Offered Rate (LIBOR) had its...
View ArticleFrom LIBOR to SOFR, the benchmark transition – Pt.2
Download as PDF The First Reaction One of the first institutional proposals for a reform of LIBOR came from the Weathley Review of LIBOR. Commissioned in late June 2012 by the UK Chancellor of the...
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