Derivatives and Quantitative Strategist

Gaudenz Schneider

Financial Economist with over 20 years of investment experience across all asset classes. He has worked as a sell-side derivatives researcher and trader on one of London’s largest trading floors, and as a structurer and portfolio manager for the buy-side in Switzerland. As head of Quantitative Strategy at an Asian WealthTech company, Gaudi and his team designed over 50 distinct investment strategies for institutional clients in Australasia.

Gaudi’s analysis follows a scientific approach based on empirical research and quantitative evidence.

NIFTY Bank Index: Methodology Changes to Result in Big Flows

Long ICICI (ICICIBC IN), Short HDFC (HDFCB IN): Fresh Statistical Arbitrage Signal in Indian Banks

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (17 Nov)

Long REA Group (REA AU) Vs. Short News Corp (NWS AU): Spread Opens up Mean-Reversion Opportunity

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (10 Nov)

Equity Bottom-Up

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<li>
Context: The <a href="https://www.smartkarma.com/entities/axis-bank-ltd" target="_blank" data-smartkarma-citation="entities:768:1" rel="noopener">Axis Bank (AXSB IN)</a> vs. <a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank (ICICIBC IN)</a> price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long ICICI Bank (ICICIBC IN) and short Axis Bank (AXSB IN) targets a 5% return.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The Axis Bank (AXSB IN) vs. ICICI Bank (ICICIBC IN) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long ICICI Bank (ICICIBC IN) and short Axis Bank (AXSB IN) targets a 5% return.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

NSE Nifty Financial Services I (NSEFIN INDEX EQUITY)

Long ICICI Bank (ICICIBC IN) Vs. Short Axis Bank (AXSB IN): Quant-Driven Pair Trade in Indian Banks

ICICI Bank Ltd

Long ICICI Bank (ICICIBC IN) Vs. Short Axis Bank (AXSB IN): Quant-Driven Pair Trade in Indian Banks