Mauro Cesa

1 week ago | risk.net | Mauro Cesa

The parameters of popular factor models for interest rates, such as the Heath-Jarrow-Morton model, are known to be mean-reverting. The study of the speed at which the mean reversion happens has been largely neglected, but that information would be helpful for structuring more efficient hedging strategies. More broadly, fresh research on interest rate modelling could be useful for banks and investors as they grapple with volatile rates during a period of macroeconomic uncertainty.

1 month ago | risk.net | Mauro Cesa

A top quant has cast doubt on one of the hottest new practices in investing - the use of synthesised data to train machine learning models and to backtest strategies. In a new working paper, Charles-Albert Lehalle, a professor in applied math at École Polytechnique, together with Adil Rengim Cetingoz, a researcher at Université Paris 1 Panthéon-Sorbonne, shows that synthetic data cannot reduce uncertainty in models - no matter how much of the new data quants might create.

2 months ago | risk.net | Mauro Cesa

Options market-making models are among the financial industry's most closely guarded trade secrets. So much so that researchers looking for an example in the financial literature often end up recreating the confused John Travolta meme from Pulp Fiction. "I can't recall a portfolio-level market-making model [being] published," says Vladimir Lucic, a visiting professor at Imperial College London and head of quants at Marex Solutions.

2 months ago | waterstechnology.com | Rob Mannix |Mauro Cesa |Anthony Malakian |Max Bowie

BlackRock has teamed up with an artificial intelligence firm established by a US hedge fund to test a new way to classify corporate bonds using AI. The asset manager worked with Qognitive to use the firm’s quantum cognition machine learning model to pick the most similar liquid replacements for hard-to-trade high-yield bonds, a common class of problem in investing. In tests, QCML seemed to do a better job of identifying similar bonds than random forest models, a more conventional form of machine

2 months ago | risk.net | Mauro Cesa

BlackRock has teamed up with an artificial intelligence firm established by a US hedge fund to test a new way to classify corporate bonds using AI. The asset manager worked with Qognitive to use the firm's quantum cognition machine learning model to pick the most similar liquid replacements for hard-to-trade high-yield bonds, a common class of problem in investing.