Quantitative
Goldman tackles climate risk controls
Lender joins other banks in translating physical and transition threats into controls framework
UBS AM builds model for quantifying greening of heavy industry
The asset manager's quant research arm, QED, has published a framework for valuing companies in industries like cement or steel that transition to more sustainable tech.
SF quant firm uses 'nearest neighbor' machine learning for equities predictions
Creighton AI is using a regression-based approach to machine learning to help make predictions about the excess return of a stock relative to the market.
Deep XVAs and the promise of super-fast pricing
Intelligent robots can value complex derivatives in minutes rather than hours
The ESG Holy Grail doesn’t exist… yet
As buy-side firms strive to stand out in a maturing ESG-driven market, they will look for data in areas where coverage is still poor.
Beyond ratings: Vendors look to fill ESG data gaps
Start-ups and non-traditional data providers are exploiting niches where investment professionals can't rely on ratings.
Acadian builds ‘green screen’ to auto-filter ESG phoneys
The $110 billion quant investor is creating an automated system to spot greenwashers.
In fake data, quants see a fix for backtesting
Traditionally quants have learnt to pick data apart. Soon they might spend more time making it up
Goldman inks modeling, data tie-up with MSCI
The move to cross-sell risk analytics could herald further content deals for the bank’s Marquee platform, says its sales chief.
Quandl goes live with new dataset for measuring dollar value of patents
The data vendor’s product is its first that aims to sort what it believes to be truly innovative companies from the pack.
BMLL partners with quants for HFT regulation
Researchers from a Paris university are using the provider’s data and coding environment to build models for more efficient regulatory approaches.
This Week: Refinitiv, State Street, FlexTrade, FactSet/Microsoft, Cboe, and more
A summary of some of the past week’s financial technology news.
PanAgora’s CIO & head of sustainable investing explain firm’s ESG framework, best practices
Waters Wavelength Podcast Interview Series: PanAgora’s George Mussalli and Mike Chen hit on topics including building predictive models using point-in-time data, and balancing ESG portfolios.
Futures trading algos ripe for disruptive new entrants
Algorithm development specialist BestEx Research is making a play to address inefficiencies in futures trading algorithms.
JP Morgan AM develops AI quant tool that uses mind maps to build thematic funds
ThemeBot uses textual relevance and revenue attribution to construct a list of stocks, which is then verified by JPMAM’s active equity analysts.
Quants Find New Ways to Identify Inventive Companies
Buy-side firms are using patent and other types of data to identify trailblazer companies from phonies.
Machine Learning in the Capital Markets 2020: ML Spreads During Pandemic
WatersTechnology looks at how 10 different firms are embedding machine learning algorithms into their platforms and tools.
Machine Learning will Create New Sales Bots on Trading Desks
Technologists are working to automate indications of interest from trading desks, according to UBS’s head of machine learning.
At the ‘Fringes of Realism’: Agent-Based Models Take Hold Among Quants
Agent-based modeling has taken root seemingly everywhere throughout the last decade, from theoretical physics, to military operations, to public health, to ride-sharing apps like Uber, and to a much lesser extent, finance. However, a year such as 2020…
Waters Wrap: S&P-IHS Markit and the Land of Giants (Also, More on AML Tech)
Anthony provides some of his initial questions and thoughts following the S&P-IHS Markit deal. He also takes a second look at AML technology after getting some sage feedback.
Natural Language Generation: Great Promise, Significant Barriers
Sell-side firms and data providers are increasingly experimenting with natural-language generation to create new forms of automatically curated reports, emails and alerts, but the technique comes with significant challenges.
UBS AM’s Quant & Data Science Unit Looks to Blend Human & Machine in 2021
The QED team within the asset manager is aligning its focus next year to deliver a holistic AI platform to its investment professionals—including a recommendation engine.
Model Misfires Raise Questions Over Training Data
Quants wrestle with how far into the past their machine learning models should peer.
Waters Wrap: Is AML Tech Worth the Cost? (And Cloud Moves & More Blockchain)
Anthony wonders if AML platforms are being scrutinized enough by banks and regulators, then looks at Wells Fargo's tapping of HPR for its quant division and Northern Trust’s blockchain plans.