Andreas Homberger

Cross-Asset Technical Outlook 📊 Our 'week ahead' report is out for distribution. Talking points : 👉🏽ES, NQ targets for next week 👉🏽EM futures (MES1) targets for next week 👉🏽Where next for our Nikkei longs (NK1) 👉🏽BBDXY outlook 👉🏽USD options skew and implications for underlying 👉🏽USD agg. speculative positioning 👉🏽Breakout in G-10 FX carry index 👉🏽G-10 momentum leaders and laggards 👉🏽AUD/USD long-term pattern breakout 👉🏽AUD/CNH and AUD/SGD 👉🏽USD/NOK July 2023 deja-vu 👉🏽USD/PLN and USD/HUF 👉🏽BRL/ZAR tactical play 👉🏽Asia/$ outlook after holding key support for 2nd week 👉🏽UST 2-yr yield and Citi US Eco Surprise 👉🏽TU1 game plan 👉🏽UST 5y nominal and real yield outlook - big level breaks on reals 👉🏽 SOFR opportunities next week 👉🏽 ERM5-SFRM5 outlook after big level gives way 👉🏽 UST curve outlook - 2s10s and 5s10s... steepening checkmate! 👉🏽 Gold, Silver, Oil, Copper - bias and targets If you are an institutional participant, contact me for a copy of this report. IB me on Bbg of email at [email protected]

3

🚀 Stock Alert: DFML 📈 Investment View: Technically Bullish 📈 🔍 Quick Info: 📈 Entry Range: 20.50-20.70 🎯 First Targets : 22 🎯 Second Targets : 23 ⚠ Stop Loss: 20 ⏳ Nature of Trade: Scalping 📉 Risk Level: Medium ☪ Shariah Compliant: NO 💰 Dividend Paying: NO 📰 Technical View: DFML has demonstrated a breakout above the 20 level, affirming strong bullish momentum in the recent trading session, culminating with a closing price of 20.76. This bullish sentiment is further substantiated by the RSI indicator. Accordingly, the initial upside target for DFML is established at 22, with a subsequent target at 23. Conversely, a notable support level is identified at 20. In the event of a breach and subsequent closure below this support level, it is advisable to employ a stop-loss strategy. https://lnkd.in/eTaDcjiU

1

The paper addresses the optimization of bid-ask spread quoting strategy for corporate bond traders using reinforcement learning (RL). It builds on the concept of Fair Transfer Price (FTP) for illiquid corporate bonds and employs RL to derive a data-driven optimal strategy. Key Points: Corporate Bond Trading and Liquidity: Traders in sell-side institutions provide market liquidity by buying/selling securities and managing inventories. The RFQ (Request for Quote) protocol is a common method for electronic trading, where traders must quickly provide quotes based on various parameters. Fair Transfer Price (FTP): Introduced by Bergault and Gueant, FTP is a framework for pricing illiquid OTC securities. It relies on stochastic optimal control to maximize a trader’s expected profit and loss (P&L), considering the quadratic variation of P&L. Reinforcement Learning Approach: The paper proposes using RL to estimate the optimal quoting strategy, bypassing the need for a parametric model of bond price dynamics. RL relies on historical RFQ data and third-party benchmark prices to train the agent. The RL framework provides a flexible and adaptive strategy compared to traditional model-based methods. Quantitative Methods: The paper delves into stochastic optimal control, Hamilton-Jacobi-Bellman (HJB) equations, and RL algorithms like policy gradients, actor-critic methods, and advanced algorithms (DDPG, TRPO, PPO). Implementation and Testing: The authors trained RL algorithms using model-based price dynamics and calibrated parameters from existing literature. The trained agent was evaluated through behavioral testing and scenario analysis to ensure reasonableness. Checkout our course Machine Learning for Finance -https://lnkd.in/gtJDWcus Separate modules for each AI and Machine Learning Type with exhaustive concepts. 15+ Real-World Practical Applications Financial Applications Coverage - Algo Trading - Portfolio Management - Fraud detection - Lending and Loand Default prediction - Sentiment Analysis - Derivatives Pricing and Hedging - Asset Price Prediction - and many more Course Description Supervised Learning Regression and Classification models 1. Linear and Logistic Regression 2. Random Forest and GBM 3. Deep Neural Network (including RNN and LSTM) Includes 6+ case studies Unsupervised Learning Clustering and Dimensionality Reduction 1. Principal Component Analysis 2. k-Means and hierarchical clustering Includes 5+ case studies Reinforcement Learning and NLP Value/Policy based RL models and sentiment analysis 1. Deep Q- Learning RL model 2. Policy-based RL models 3. Sentiment based trading Includes 4+ case studies The course is designed by Industry Veterans Hariom Tatsat, CQF, FRM with years of working at the biggest Investment Bank and trading firms on Wallstreet - https://lnkd.in/gtJDWcus Use Coupon code - "EARLYBIRD20" for 20% off on the course

184

6 Kommentare

Swiss CPI Alert! CHF volatility expected as traders react to inflation data! Measures monthly change in consumer prices Rising CPI: potential rate hike Impact on Forex Market: High CPI: CHF strengthens Low CPI: CHF weakens Keep an eye on the updates. #HorizonFXTrading #HorizonFXNews #HorizonFXBrokerage #ForexTrading #UAE #Pakistan #TradingNews #NASDAQ #SP500

1

🔔 Eurex total traded contracts in May 2024 rise 13% YoY Europe's leading derivatives exchange, Eurex, saw a 13 percent increase in traded contracts for May compared to the previous year. This translates to a jump from 142.5 million to 161.3 million contracts. Interest rate derivatives experienced a particularly strong surge, rising by 41 percent to 78.3 million contracts. #WikiFX #WikiFXVietNam #finance #news #Eurex

8

Understanding the "Greeks" (Delta, Gamma, Vega, Rho) is crucial for risk management in structured products and derivatives. These metrics help traders manage exposure in dynamic market conditions and investors assess market sensitivities and possible price movements. A version of this article authored by Tim Mortimer was originally published by SRP. https://lnkd.in/eU4Dn6eX #StructuredProducts #Investment #Research #Analysis #StressTest #Valuations #Consultancy #B2B

2

"Investors currently have the rare opportunity to secure an attractive yield with a very low probability of default, typical of investment grade corporate bonds", argue Portfolio Manager Matthias Busuttil, CFA and Investment Strategist Krishna Tewari in their comment. #investmentgrade #Corporatebonds #Assetallocation ⬇️ https://lnkd.in/dS2C8Uc6

9