Event Driven Quant Funds?
Are there any funds out there doing event-driven strategies quantitatively?
Event predictions translate really well into data science problems so I'm asking.
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The majority of "events" are sparse in time, so it might be not so straightforward to quantify them. However, more regular events like earnings or analysts are very well quantified and traded by quants.
i think it could be possible to run an exclusively post announcement merger arb book quantitatively, just immediately enter the same long/short trade on every public company merger announced in equity markets worldwide, should be sufficiently large sample to collect the spread 51% of the time and eke out fairly regular gains, lever that up and you prob have hsd returns
ofc you are selling insurance/most of the alpha is probably in managing execution and borrowing costs etc.
also - q of when you exit trade (wait till consummation or sell after x% gain?)/how fast you can execute post announcement
wouldnt be surprised if the large platforms or quant funds have something like this on in a sophisticated way
A deal failing is all it takes to burn your returns. I’m sure there are a few a year.
There is a bank on the street offering this as a QIS product.
Can you remember which one? Article name?
https://www.aqr.com/Insights/Research/Interviews/Meet-the-Expert-Todd-P…
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This is exactly what I'm interested in.
Can I DM you?
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