Academic Papers on Global Macro/Fixed Income trading
Basically title. Trying to expand my knowledge base/learn about macro and trading from an academic standpoint. Are there any specific papers that would be beneficial?
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Im sure you can find plenty on RV strats and other things in that vein, but if you are talking about fixed income from an S&T perspective then you are better off with books. Fabozzi should get you started and Corb/Hull are also a great next step. There won’t be a lot of “academic” papers on fixed income in S&T because it is not academic in that way. For fixed income at a prop shop/hedge fund you can look into what I mentioned in my first sentence.
Bond Variance Risk Premiums https://academic.oup.com/rof/article-abstract/21/3/987/2960063
Factor-based investing in government bond markets: a survey of the current state of research https://link.springer.com/article/10.1057/s41260-020-00156-3
are both interesting and
The Aggregate Demand for Treasury Debt https://ideas.repec.org/a/cup/jfinqa/v36y2001i04p523-543_00.html
Economic News and Bond Prices: Evidence from the U.S. Treasury Market https://ideas.repec.org/a/ucp/jpolec/doi10.1086-666526.html
are two of the most highly cited papers on treasuries.
PCA unleashed by Credit Suisse is pretty interesting, I cant find a copy of it online anymore though which is fairly annoying
I’ll see if I can track it down for you.
Thanks, I’d appreciate it
PCA Unleashed - Credit Suisse - [PDF Document] (vdocuments.mx)
Hi, has anyone found the credit suisse PCA Unleashed Document? The link shared here is not working. Would appreciate anyone sharing this resource, will be great help as I am starting on a relevant desk, thanks a lot!
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