Graham Quant Log

Quant Log

Thoughts, anecdotes, and chatter from senior members of the Graham Quantitative Strategies team.

Carry in Different Monetary Policy Regimes

October 20, 2023

Here we take a look at the dispersion of swap rates across different economies as an indicator for the degree of alignment of their monetary policies. We show how this dispersion has varied in time, and that higher dispersion can be beneficial for a generic carry strategy.

What to Read this Summer

August 4, 2023

Graham's Quantitative Strategies team share their current favorite reads, each offering their insightful take on why these books have captured their attention. This thoughtfully curated summer reading list encompasses a wide spectrum of topics and genres. From enlightening non-fiction books about finance, science, and math, to fiction and the classics, there's something for every literary enthusiast. Happy reading!

Chatting with ChatGPT

Oguz Tanrikulu, Nastja Bethke, and Andrew Uhl April 3, 2023

We present a short experiment testing ChatGPT's ability to extract sentiment from financial headlines, one of the more complex Natural Language Processing (NLP) tasks encountered in finance.

Stock-Bond Correlation In Different Inflation Regimes

Daniel DeWoskin March 2, 2023

Here we show how the stock-bond correlation has varied over time with the transition between different inflation regimes. A clear trend emerges: the negative correlation is historically only seen in periods of low inflation.

Diversification by Model: When Opposites Attract

Edward Tricker and Nastja Bethke December 16, 2022

Models that are different by design and are built to capture different market conditions can nevertheless temporarily align themselves in their positioning. We look at two recent examples.

Simpson's Paradox: You Win Some, You Lose Some, You Simpson

Nastja Bethke December 7, 2022

Simple statistics can sometimes be misleading. One example of what to be wary of when slicing and dicing data.

The M6 Competition: Battle of the Forecasting Models

Antoine Ledoux December 7, 2022

A brief recap of the Makridakis Competitions, which have been called into life with the goal of benchmarking and comparing different statistical techniques.