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Fixed income analysis
In this text, readers will be introduced to a variety of important fixed income analysis issues, including the general principles of credit analysis, term structure and volatility of interest rates, and valuing bonds with embedded options.
Book
Trading Fixed Income and FX in Emerging Markets
A practitioner's guide to finding alpha in fixed income trading in emerging markets Emerging fixed income markets are both large and fast growing. China, currently the second largest economy in the world, is predicted to overtake the United States by 2030. Chinese fixed income markets are worth more than $11 trillion USD and are being added to global fixed income indices starting in 2019. Access for foreigners to the Indian fixed income market, valued at almost 1trn USD, is also becoming easier - a trend repeated in emerging markets around the world. The move to include large Emerging Market (EM) fixed income markets into non-EM benchmarks requires non-EM specialists to understand EM fixed income. Trading Fixed Income in Emerging Markets examines the principle drivers for EM fixed income investing. This timely guide suggests a more systematic approach to EM fixed income trading with a focus on practical trading rules on how to generate alpha, assisting EM practitioners to limit market-share losses to passive investment vehicles. The definitive text on trading EM fixed income, this book is heavily data-driven - every trading rule is thoroughly back-tested over the last 10+ years. Case studies help readers identify and benefit from market regularities, while discussions of the business cycle and typical EM events inform and optimise trading strategies. Topics include portfolio construction, how to apply ESG principles to EM and the future of EM investing in the realm of Big Data and machine learning. Written by practitioners for practitioners, this book: Provides effective, immediately-accessible tools Covers all three fixed income asset classes: EMFX, EM local rates and EM credit Thoroughly analyses the impact of the global macro cycle on EM investing Examines the influence of the financial rise of China and its fixed income markets Includes case studies of trades that illustrate how markets typically behave in certain situations The first book of its kind, Trading Fixed Income in Emerging Markets: A Practitioner's Guide is an indispensable resource for EM fund managers, analysts and strategists, sell-side professionals in EM and non-EM specialists considering activity in emerging markets.
eBook
Regulation and Market Liquidity
We examine the effects of postcrisis financial regulation, encompassing the Dodd–Frank Act and Basel III, on market liquidity of the U.S. fixed-income market. We estimate structural breaks in a large panel of liquidity measures of corporate and Treasury bonds. Our methodology does not require a priori knowledge of the timing of breaks, can capture not only sudden jumps but also breaks in slow-moving trends, and displays excellent power properties. Against the popular claim that postcrisis regulation hurt liquidity, we find no evidence of liquidity deterioration during periods of regulatory intervention. Instead, breaks toward higher liquidity are often detected.
The online appendix is available at
https://doi.org/10.1287/mnsc.2017.2876.
This paper was accepted by Tomasz Piskorski, finance.
Journal Article
New methods in fixed income modeling : fixed income modeling
This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.
Book
Systematic Fixed Income
Understand the role and potential of fixed income as an asset class Systematic Fixed Income: An Investor's Guide offers readers a powerful, practical, and robust framework for investors and asset managers to preserve the diversifying properties of a fixed income allocation, and add to that unique sources of excess returns via systematic security selection. In other words, this framework allows for efficient capture of fixed income beta and fixed income alpha. Celebrated finance professional Dr. Scott Richardson presents concrete strategies for identifying the relevant sources of risk and return in public fixed income markets and explains the tactical and strategic roles played by fixed income in typical portfolios. In the book, readers will explore: The implementation challenges associated with a systematic fixed income portfolio, including liquidity and risk The systematic return sources for rate and credit sensitive fixed income assets in both developed and emerging marketsAn essential read for asset managers and institutional investors with a professional interest in fixed income markets, Systematic Fixed Income: An Investor's Guide deserves a place in the libraries of advanced degree students of finance, business, and investment, as well as other investment professionals seeking to refine their understanding of the full potential of this foundational asset class.
eBook
High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets
A properly performing and efficient bond market is widely considered important for the smooth functioning of trading systems in general. An important feature of the bond market for investors is its liquidity. High-frequency trading employs sophisticated algorithms to explore numerous markets, such as fixed-income markets. In this trading, transactions are processed more quickly, and the volume of trades rises significantly, improving liquidity in the bond market. This paper presents a comparison of neural networks, fuzzy logic, and quantum methodologies for predicting bond price movements through a high-frequency strategy in advanced and emerging countries. Our results indicate that, of the selected methods, QGA, DRCNN and DLNN-GA can correctly interpret the expected bond future price direction and rate changes satisfactorily, while QFuzzy tend to perform worse in forecasting the future direction of bond prices. Our work has a large potential impact on the possible directions of the strategy of algorithmic trading for investors and stakeholders in fixed-income markets and all methodologies proposed in this study could be great options policy to explore other financial markets.
Journal Article
Financial markets and trading : an introduction to market microstructure and trading strategies
\"Financial Markets and Trading Strategies covers three main parts: Market organization and microstructure theory, which will contain an overview of modern financial markets for equities, FX, and fixed income. There will be a description on various market types and market price formation with different types of traders and orders. Major theoretical microstructure models will be presented, as also concepts of the agent-based modeling of financial markets and important empirical properties of equity and FX markets. Common trading strategies and back-testing will summarize the concepts used in technical analysis and arbitrage trading (such as pairs trading and mean-reversion strategies). There will be a description of performance criteria and back-testing of trading strategies with re-sampling techniques and an outline of other ideas used in optimal order execution, such as optimal order slicing and maker-versus-taker strategies. The appendix will include Probability distributions and time series analysis. For self-contained presentation, there will be a description of the mathematical methods used in formulating trading strategies and their back-testing. There will be a focus on the linear regression, autoregressive and moving average models, trends, co-integration, and conditional heteroskedasticity. There will also be an introduction to resampling techniques, such as bootstrap and MCMC\"-- Provided by publisher.
Book
Taming the Factor Zoo: A Test of New Factors
We propose a model selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a high-dimensional set of existing factors explains. Our methodology accounts for model selection mistakes that produce a bias due to omitted variables, unlike standard approaches that assume perfect variable selection. We apply our procedure to a set of factors recently discovered in the literature. While most of these new factors are shown to be redundant relative to the existing factors, a few have statistically significant explanatory power beyond the hundreds of factors proposed in the past.
Journal Article