According to Fabrice Foy, Quantitative Analyst at CCR-AM, we should do the exact opposite of the classical theory: the stock price does not reflect fundamentals, and if it deviates from its fundamental value, it does not necessarily tend to revert (...)
In France, many financial engineers feel some aversion for IT. Some, fascinated by models, don’t consider for a second writing thousands of lines of code…
The use of «multifractal processes» for risk calculation in finance allows us to use the concept of «scale invariance» and its implications developed in fluid mechanics…
In an uncompromising book, Benoit Mandelbrot, French graduate from Ecole Polytechnique, denounces the inconsistency of the orthodox theory of finance and presents his fractal vision of the markets
The performance of CTAs during the recent market meltdown is remarkable. It highlights the fact that the power of diversification of the strategy in a portfolio remains intact. Recent developments provide additional evidence that managed futures often outperform traditional (...)
Institutional investors warn of increasing correlations, finds Natixis survey
Institutional investors worldwide say it is challenging to find diversification among traditional asset classes, with more than half (54%) saying stocks and bonds are too highly correlated to provide distinctive sources of return, according to a recent survey by Natixis (...)
International central bank committees release reports on fixed income markets
The CGFS report, Fixed income market liquidity, finds signs of greater fragility, with liquidity conditions being more susceptible to disruptions, such as sudden stops of liquidity in key segments of the market and a deterioration of market depth (...)
BofA Merrill Lynch Fund Manager Survey Finds Investors Significantly Less Confident in Global Economic Outlook
With increasing concern over China’s growth, investors are significantly less confident in the global economic outlook, according to the BofA Merrill Lynch Fund Manager Survey for January. Allocations to equities have fallen sharply, while cash holdings have (...)