/ Research Center

29.07.2020 - Global Investment Views

Global Investment Views - August 2020

As we enter the summer, conflicting forces in major equity markets have led to a period of temporary equilibrium between fear (risk of second wave, low bond yields, high gold prices) and greed (equities rallying as a result of economies reopening).

Vincent MORTIER, Pascal BLANQUE

22.07.2020 - Investment Talks

EU agreement: a powerful answer that can lift further EU assets and ESG investing

The agreement reached among EU leaders at the end of the longest European Council in history to mobile a comprehensive package of €1 824 bn – including the Multiannual Financial Framework (MFF) and the Next Generation EU (NGEU) instrument –is a significant achievement and a net positive in the short term for EU assets.

Didier BOROWSKI, Eric BRARD, Kasper ELMGREEN, Alban de FAY, Isabelle VIC-PHILIPPE

07.07.2020 - Working Paper

Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks

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

26.06.2020 - Market Outlook

H2 2020 Investment Outlook - Investing during a de-freezing cycle

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

26.06.2020 - Podcast

Blue Convictions - An active play for July combined with a focus on fundamentals

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.

24.06.2020 - Monthly Cross Asset

Markets scenarios & risks - July 2020

Monthly update. We maintain the overall pandemic narrative confirming the probabilities, assigned to the base and alternative scenarios.

Amundi Research

24.06.2020 - Monthly Cross Asset

Cross Asset Investment Strategy - July 2020

Cross Asset Investment Strategy - Find the latest edition of our Research team's monthly publication

Amundi Research

22.06.2020 - Global Investment Views

Global Investment Views - July 2020

Covid-19 has triggered a sequence of economic and financial market narratives and is giving way to a new status quo characterised by extreme fiscal and monetary measures, to which markets have responded well, though some volatility has returned in the past few days. In effect, these policy measures are painting a new picture, that of a “day after” renaissance.

Pascal BLANQUE, Vincent MORTIER

22.06.2020 - Podcast

Blue Research - The “Day After” series #6 – A possible inflationary cocktail

Since the beginning of the coronavirus pandemic, all eyes have been on the unfolding health catastrophe and the consequences of confinement: economies halted, exploding rates of unemployment (in particular in the United States), and rising debt levels. In this extraordinary context, inflation is often overlooked.

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