Amongst the research areas of most interest to the QMI are:
Application of signal treatment to the estimation of factorial models, the detection of outliers, and the robust estimation of Kalman models …
Concretely, in this area, Serge Darolles, Patrick Duvaut and Emmanuelle Jay are preparing the first volume of the QuantValley collection, published with Wiley. A project by Emmanuelle Jay is also receiving funding of 5,000 euros from the Research chair. And a « signal treatment and quantitative management » session has been organised by the QMI for the Computational Financial Econometrics (CFE) conference in Oviedo on the 1st, 2nd and 3rd of December.
Measure of the market liquidity of different assets.
Serge Darolles Gaëlle Le Fol and Gulten Mero have been presenting a research paper entitled “Measuring the liquidity part of volume” on behalf of he QMI at several conferences during 2014. This paper will be published in “Journal of Banking and Finance” in 2015. Serge Darolles Gaëlle Le Fol and Gulten Mero are also working on dynamics measures of short-term and long-term liquidity measures based on the autocorrelation of return, volume and volatility. This research has been presented for the first time at the second QuantValley/QMI Annual Research Conference in Paris in November, then at the 6th French Econometrics Conference in Paris and finally at the Computational Financial Econometrics (CFE) conference in Pisa, Italy, in December. Serge Darolles, Gaëlle Le Fol and Jean Michel Zakoian continue to work on liquidity adjusted conditional risk measure. A new version of this research was presented in February at the Risk Seminar, ESSEC. Fabrice Riva is for his part, with two co-authors, working on ETF liquidity. He has presented a research paper on behalf of the QMI at several conferences during 2014. A QMI workshop in London, and special sessions at the Computational Financial Econometrics (CFE) conference in Pisa, Italy, in December and at the Institutional Management FORUM, PARIS, 20 March 2014.
Optimisation of the VWAP (Volume Weighted Average Price) price replication algorithms, link between the speed of placing orders on the market and the arrival of information, liquidity trade-offs, maximum trading capacity.
Vincent van Kervel and Albert Menkveld, from VU University of Amsterdam have received in 2013 funding of 5,000 for their project untitled Predatory trading in equity markets. This research has been presented at the second QuantValley/QMI Annual Research Conference in Paris in November 2014. Algo and High frequency trading defenders say that they provide liquidity and improve price efficiency. Serge Darolles, Gaëlle Le Fol and Gulten Mero, in their liquidity paper, show that investors are acting strategically – by slicing their orders - to avoid being picked-off by HFTs. Doing so, they slow down the propagation of information in the prices. Again, this research has been presented for the first time at the 6th French Econometrics Conference in Paris and finally at the Computational Financial Econometrics (CFE) conference in Pisa, Italy, in December. QMI organised a workshop on “Liquidity and the tick size” in London with Euronext. Marius Zoican is working on assessing the impact of exchange speed on liquidity. Do faster markets necessarily imply lower bid-ask spreads? Is there an optimal ceiling on the order-to-trade ratio and how does it change with trading speed?
A measure of liquidity comovements between the currencies of various emerging economies, link between currency liquidity and liquidity of dollar debt markets, impact of hedge fund flows on contagion phenomena between countries.
Several teams are working on this theme. Christian Gouriéroux and Patrick Gagliardini are working on modelling hedge fund default due to contagion effects. The article has been presented at the Conference on Asset Management, Cologne, in April 2014. Serge Darolles, Simon Dubecq and Christian Gouriéroux are working on project on the Contagion analysis in the banking sector, presented several times in 2014. Serge Darolles and Christian Gouriéroux will publish in 2015 with Wiley the second volume of the QuantValley collection. Mardi Dungey and Eric Renault have also received funding of 10,000 euros by the QMI for their project on contagion modelling. Marius Zoican conducts research on contagion in the European interbank loan network. Concretely, what was the effect of introducing the banking union on perceived systemic risk in Europe? How to better extract “too-interconnected-to-fail” perceptions from market data?
Decomposition of a portofolio’s asset’s risk contribution into systematic risk contribution and idiosyncratic risk contribution, method of allocation controlling the relative proportion of either contribution. Application to index and market-neutral portfolio creation.
Christian Gouriéroux and Emmanuelle Jay take a new look at a well-known approach: risk parity. Parity is obtained for any form of risk measure (not only volatility) and by identifying the common and specific components of risk. This research was presented during the Venice QMI workshop. Emmanuel Jurczenko and Jérome Teiletche are working on the second volume of the QuantValley collection, published with Wiley, the theme of which is also risk parity. These two research papers were presented during the Venice QMI workshop. Directly Related to this subject, Dong Lou and Christopher Polk, from London School of Economics have presented their work on the booms and busts of beta arbitrage: measuring the extent of the low-beta crowd during the QMI Annual Conference in November.
Nick Baltas from Imperial College have presented their work on Momentum strategies in futures markets and trend-following funds during the QMI Annual Conference in November.
A research team from the University of Rotterdam headed by Professor Micheal McAleer funded by QMI in 2013 have presented the corresponding work on Artificial Intelligence approaches applied to the analysis of information diffused through traditional channels (Reuters news) during the QMI Annual Conference. This information is analysed so as to rank assets from various investment universes from best to worst.
A senior research team from the University of Cergy-Pontoise funded in 2013 for a research project on a model of mortgage default risk have presented the corresponding work during the QMI Annual Conference.
The University of Rotterdam’s project (mentioned above) also relates to this theme.