Fixed Income Strategist
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Fixed Income Strategist
In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets. In particular, these synthetic data must preserve the first four statistical moments (mean, standard deviation, skewness and kurtosis), the stochastic dependence between the different dimensions (copula structure) and across time (autocorrelation function). The first part of the article reviews the more relevant generative models, which are restricted Boltzmann machines, generative adversarial networks, and convolutional Wasserstein models. The second part of the article is dedicated to financial applications by considering the simulation of multi-dimensional times series and estimating the probability distribution of backtest statistics. The final objective is to develop a framework for improving the risk management of quantitative investment strategies.
Edmond LEZMI, Jules ROCHE, Thierry RONCALLI, Jiali XU
Group Chief Investment Officer
From a long-term investment perspective, the unprecedented global crisis caused by the Covid-19 pandemic brings along both challenges and opportunities, which constitute two sides of the same coin for institutional investors such as pension funds.
Thierry ANCONA, Pascal BLANQUE, Jean-Jacques BARBERIS, Pedro Antonio ARIAS, Eric TAZE-BERNARD, Matteo GERMANO, Jean-Xavier BOURRE
2020 was supposed to be the year when policy makers, corporates, and investors charged ahead in the fight against climate change. Instead, it is the year of the coronavirus pandemic. The COP26 has been postponed, climate strikes are cancelled, and the European Commission’s ability to push through the Green Deal has yet to be proven. However, while the global lockdowns are sure to make a dent in global emissions for 2020, it remains to be seen whether climate change will fight its way into the recovery or become sacrificed yet again. Alice de Bazin, Head of Institutional Offering and Solutions department, Théophile Pouget-Abadie and Tobias Hessenberger, both working in Business solutions and innovation team, discuss the topic with Tom Burges-Watson.
The Covid-19 crisis drove the global economy into an unprecedented deep freeze in the first half of 2020. The combination of monetary and fiscal stimulus will help the global economy de-freeze in H2. As was the case with the virus cycle, the recovery will be sequential and involve different regions at different times - on a ‘first in, first out’ basis - and will depend on the size of the policy response. As the global economy gradually de-freezes, investors will turn their focus back to geopolitics.
As the global economy emerges from its current hibernation and geopolitical factors re-enter the scene, investors should retain a moderate exposure to risky assets, playing relative-value opportunities and dislocations that could benefit from the de-freezing of the economic cycle. They should also watch for new themes that emerge or are further reinforced during the crisis, such as ESG.
Pascal BLANQUE, Vincent MORTIER
Remaining active, selecting the assets and preserving liquidity are the key points of this new Blue Convictions episode on Amundi’s global investment views. Central Banks are still game changers, but the risk of default for fixed income and the need of earnings growth check for equities have to be considered in the medium term. On the currency market, what about the recent appetite for the euro versus the dollar? Listen to Monica Defend, Global Head of Research, who explains our views and convictions: a bumpy road to a “day after” renaissance.