Cutting Edge
Cutting Edge is the quantitative finance section of Risk.net. It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.
To publish with us, see our submissions guidelines and contact us.
Quants dive into FX fixing windows debate
- The fixing window length is found to be more impactful on the outcomes for dealers and clients than the calculation methodology itself
- WM/R, Siren and BFIX are tested and assessed over several fixing windows
- The study is part of a research stream by Roel Oomen of Deutsche Bank and Johannes Muhle-Karbe of Imperial College London
Podcast: Piterbarg and Nowaczyk on running better backtests
Quants discuss new way to extract independent samples from correlated datasets
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
Quantum cognition machine learning: financial forecasting
A new paradigm for training machine learning algorithms based on quantum cognition is presented
