WILMOTT Magazine: November 2025 issue

Volume 2025, Issue 140. Pages 1-96

Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here.

In this issue:

D. Tudball, “Contents,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Contents

@article{WILM:WILM12180,
title = {{Contents}},
author = {Tudball, Daniel},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12180},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12180},
abstract = {Contents}
}

D. Tudball, “The Second Time Around,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex]

@article{WILM:WILM12181,
title = {{The Second Time Around}},
author = {Tudball, Daniel},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12181},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12181},
abstract = {}
}

T. Casey, “Still Buffering: Options-Based Funds Gathering Traction and Critics,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Thelonious Casey takes a look at a hotly contested derivative strategy known as the defined outcome fund, or more colloquially the buffer fund.

@article{WILM:WILM12182,
title = {{Still Buffering: Options-Based Funds Gathering Traction and Critics}},
author = {Casey, T},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12182},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12182},
abstract = {Thelonious Casey takes a look at a hotly contested derivative strategy known as the defined outcome fund, or more colloquially the buffer fund.}
}

J. Guerard and J. Chen, “Replicating Financial Anomalies in Portfolio Selection,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Financial anomalies have been studied in the US for over 90 years. Recent evidence suggests that financial anomalies have diminished in the US and possibly in non-US portfolios. Have the anomalies changed and are they persistent? Have historical and earnings forecasting data been a consistent, and highly statistically significant, source of excess returns? The authors test many financial anomalies of the 1980–1990s and report that several models and strategies continue produce statistically significant excess returns. The authors test a large set in US and non-US markets over the past 30 years. The authors report that many of these fundamentals, earnings forecasts, revisions, and breadth and momentum strategies maintained their statistical significance during the 1995–2023 time period. Moreover, the earnings forecasting model and robust regression estimated composite model excess returns are greater in non-US and global markets than in the US markets. The authors further report that several weighting schemes for robust regression identify financial anomalies. Yes, Virginia, Martin, Guerard, and Xia (2024) report a more statistically motivated robust regression methodology, mOpt, that is highly statistically significant, but the authors report that alternative procedures offer effective models produce highly statistically significant stock selection models.

@article{WILM:WILM12183,
title = {{Replicating Financial Anomalies in Portfolio Selection}},
author = {Guerard, J and Chen, J},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12183},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12183},
abstract = {Financial anomalies have been studied in the US for over 90 years. Recent evidence suggests that financial anomalies have diminished in the US and possibly in non-US portfolios. Have the anomalies changed and are they persistent? Have historical and earnings forecasting data been a consistent, and highly statistically significant, source of excess returns? The authors test many financial anomalies of the 1980–1990s and report that several models and strategies continue produce statistically significant excess returns. The authors test a large set in US and non-US markets over the past 30 years. The authors report that many of these fundamentals, earnings forecasts, revisions, and breadth and momentum strategies maintained their statistical significance during the 1995–2023 time period. Moreover, the earnings forecasting model and robust regression estimated composite model excess returns are greater in non-US and global markets than in the US markets. The authors further report that several weighting schemes for robust regression identify financial anomalies. Yes, Virginia, Martin, Guerard, and Xia (2024) report a more statistically motivated robust regression methodology, mOpt, that is highly statistically significant, but the authors report that alternative procedures offer effective models produce highly statistically significant stock selection models.}
}

N. Leonenko and I. Podlubny, “Tossing Half-Coins and Other Partial Coins: Signed Probabilities and Sibuya Distribution,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

A method for numerical simulation of signed probability distributions for the case of tossing 1/n-th of a coin is presented and illustrated by examples.

@article{WILM:WILM12184,
title = {{Tossing Half-Coins and Other Partial Coins: Signed Probabilities and Sibuya Distribution}},
author = {Leonenko, N and Podlubny, I},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12184},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12184},
abstract = {A method for numerical simulation of signed probability distributions for the case of tossing 1/n-th of a coin is presented and illustrated by examples.}
}

R. Bogni, “It’s All in the Game?,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

How to channel Nash when the opponent does not seem to know in advance what new rules he wishes to invoke.

@article{WILM:WILM12185,
title = {{It's All in the Game?}},
author = {Bogni, Rudi},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12185},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12185},
abstract = {How to channel Nash when the opponent does not seem to know in advance what new rules he wishes to invoke.}
}

D. Tudball, “The Replication Crisis,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Index

@article{WILM:WILM12186,
title = {{The Replication Crisis}},
author = {Tudball, Daniel},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12186},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12186},
abstract = {Index}
}

A. Brown, “Lies, Damned Lies and “Studies Prove”,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Aaron Brown examines the underlying dynamics of the generalized replication crisis, illustrating how p-value, prior probability, power, and practical relevance would better inform our own assessment of research in finance and economics.

@article{WILM:WILM12187,
title = {{Lies, Damned Lies and “Studies Prove”}},
author = {Brown, Aaron},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12187},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12187},
abstract = {Aaron Brown examines the underlying dynamics of the generalized replication crisis, illustrating how p-value, prior probability, power, and practical relevance would better inform our own assessment of research in finance and economics.}
}

D. Gatarek, “Why Most Published Research Findings Are Worthless,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Dariusz Gatarek suggests that quantitative finance suffers from the same diseases as the rest of science, and one more: Dissociative Identity Disorder.

@article{WILM:WILM12188,
title = {{Why Most Published Research Findings Are Worthless}},
author = {Gatarek, Dariusz},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12188},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12188},
abstract = {Dariusz Gatarek suggests that quantitative finance suffers from the same diseases as the rest of science, and one more: Dissociative Identity Disorder.}
}

R. Jarrow, “Are Most Published Research Findings in Financial Economics False?,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Robert Jarrow1 explores whether Ioannidis’ finding applies to financial economics literature.

@article{WILM:WILM12189,
title = {{Are Most Published Research Findings in Financial Economics False?}},
author = {Jarrow, Robert},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12189},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12189},
abstract = {Robert Jarrow1 explores whether Ioannidis’ finding applies to financial economics literature.}
}

L. Elmegaard-Fessel and R. Poulsen, “Practical Replication Failures in Finance From Replication Crisis to Confidence Crisis,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

The replication crisis in psychology and medicine exposed how incentives distort evidence. Finance runs on a different failure mode. Production systems surface problems immediately in P&L, risk numbers, and trading behavior, so the signal is rarely hidden. The bottleneck is confidence. Practical replication failures – the divergence between intention or test and what actually happens in production – appear daily in market data, risk reporting, connectivity, and batch flows. They are often seen quickly, yet hesitation to speak up and fear of bureaucratic or reputational fallout slow escalation and inflate cost. This paper frames that pattern as a confidence crisis and treats reliability as a function of organizational nerve rather than technical perfection. We use High Reliability Organization research and Boyd’s OODA loop to specify what strong institutions do differently: cultivate preoccupation with small anomalies, defer to expertise, and keep decision cycles tight across silos. We set out an operating model that embeds blamefree escalation, independent resilience functions, and enterprise orientation forums, and we propose a concrete incentive design that rewards the messenger – for example, a payout linked to avoided loss with exponential time decay to make every minute count. The aim is practical: make early disclosure cheaper than silence by building culture by design – roles, processes, and communications that expect failure, surface it fast, and contain it.

@article{WILM:WILM12190,
title = {{Practical Replication Failures in Finance From Replication Crisis to Confidence Crisis}},
author = {Elmegaard-Fessel, Lars and Poulsen, Rolf},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12190},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12190},
abstract = {The replication crisis in psychology and medicine exposed how incentives distort evidence. Finance runs on a different failure mode. Production systems surface problems immediately in P&L, risk numbers, and trading behavior, so the signal is rarely hidden. The bottleneck is confidence. Practical replication failures - the divergence between intention or test and what actually happens in production - appear daily in market data, risk reporting, connectivity, and batch flows. They are often seen quickly, yet hesitation to speak up and fear of bureaucratic or reputational fallout slow escalation and inflate cost. This paper frames that pattern as a confidence crisis and treats reliability as a function of organizational nerve rather than technical perfection. We use High Reliability Organization research and Boyd’s OODA loop to specify what strong institutions do differently: cultivate preoccupation with small anomalies, defer to expertise, and keep decision cycles tight across silos. We set out an operating model that embeds blamefree escalation, independent resilience functions, and enterprise orientation forums, and we propose a concrete incentive design that rewards the messenger - for example, a payout linked to avoided loss with exponential time decay to make every minute count. The aim is practical: make early disclosure cheaper than silence by building culture by design - roles, processes, and communications that expect failure, surface it fast, and contain it.}
}

D. Orrell, “The Endless Replication Crisis in Economics and Finance,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Economics and finance seem outwardly unrocked by the replication crisis in other disciplines. The truth, David Orrell writes, is that the crisis in these fields is a little different, and in some respects even worse.

@article{WILM:WILM12191,
title = {{The Endless Replication Crisis in Economics and Finance}},
author = {Orrell, David},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12191},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12191},
abstract = {Economics and finance seem outwardly unrocked by the replication crisis in other disciplines. The truth, David Orrell writes, is that the crisis in these fields is a little different, and in some respects even worse.}
}

L. Ballabio, “The Software Side of Replication,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Luigi Ballabio asks what if you could make it a lot easier for readers to replicate your paper?

@article{WILM:WILM12192,
title = {{The Software Side of Replication}},
author = {Ballabio, Luigi},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12192},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12192},
abstract = {Luigi Ballabio asks what if you could make it a lot easier for readers to replicate your paper?}
}

W. Schoutens, “When Politics Masquerades as Science: RIP ESG,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

If ESG research were grounded in robust empirical science, it would remain valid regardless of who holds power, writes Wim Schoutens.

@article{WILM:WILM12193,
title = {{When Politics Masquerades as Science: RIP ESG}},
author = {Schoutens, Wim},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12193},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12193},
abstract = {If ESG research were grounded in robust empirical science, it would remain valid regardless of who holds power, writes Wim Schoutens.}
}

D. Bloch, “False Findings in Finance: The Hidden Costs of Misleading Results in the Age of AI,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

In finance and economics, where empirical research underpins investment strategies, regulatory design, and policy decisions, false findings have material consequences. This article investigates the mechanisms that lead to misleading results in financial research, from flawed assumptions to misaligned incentives. At the heart of the issue lies a fundamental methodological error: the widespread assumption that financial time series are both stationary and a-Holder continuous. The case studies explored in this article, spanning AI-driven models and advanced quantitative techniques, rely on statistical tools built for stable environments. Yet, financial markets are inherently non-stationary, shaped by regime shifts, stochastic volatility, and structural breaks. Ignoring this reality leads not only to invalid inference but to costly misallocations in practice. Bloch argues for a foundational shift in financial research: one that embraces models tailored for non-stationary dynamics and confronts the epistemological limits of prediction in complex systems.

@article{WILM:WILM12194,
title = {{False Findings in Finance: The Hidden Costs of Misleading Results in the Age of AI}},
author = {Bloch, D},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12194},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12194},
abstract = {In finance and economics, where empirical research underpins investment strategies, regulatory design, and policy decisions, false findings have material consequences. This article investigates the mechanisms that lead to misleading results in financial research, from flawed assumptions to misaligned incentives. At the heart of the issue lies a fundamental methodological error: the widespread assumption that financial time series are both stationary and a-Holder continuous. The case studies explored in this article, spanning AI-driven models and advanced quantitative techniques, rely on statistical tools built for stable environments. Yet, financial markets are inherently non-stationary, shaped by regime shifts, stochastic volatility, and structural breaks. Ignoring this reality leads not only to invalid inference but to costly misallocations in practice. Bloch argues for a foundational shift in financial research: one that embraces models tailored for non-stationary dynamics and confronts the epistemological limits of prediction in complex systems.}
}

S. Weston, M. Perez-Ortiz, and P. Barucca, “Why So Much Science Doesn’t Hold Up and What Quantitative Minds Can Do About It,” Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

“It’s a difference of opinion that makes a horse race.” Generally attributed to Mark Twain, this quote encapsulates the debate over the usefulness of research amid growing concerns in the scientific community about the replicability, reproducibility, and reliability of research findings. This article explores the debate from philosophical, statistical, and methodological perspectives, highlighting the scope of the apparent replication crisis in both natural and social sciences. The authors discuss how over-reliance on p-values and null hypothesis significance testing (NHST) has led to unreliable results and explore alternatives—such as Bayesian methods and effect size estimation—that go beyond the p<0.05 paradigm. Methodological reforms including open science practices and preregistration are reviewed for their role in improving research credibility. Throughout, the authors demonstrate computational aspects of reproducibility with Python code examples, demonstrating how researchers can use programming tools to ensure their quantitative results are robust and replicable.

@article{WILM:WILM12195,
title = {{Why So Much Science Doesn’t Hold Up and What Quantitative Minds Can Do About It}},
author = {Weston, S and Perez-Ortiz, M and Barucca, P},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12195},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12195},
abstract = {“It’s a difference of opinion that makes a horse race.” Generally attributed to Mark Twain, this quote encapsulates the debate over the usefulness of research amid growing concerns in the scientific community about the replicability, reproducibility, and reliability of research findings. This article explores the debate from philosophical, statistical, and methodological perspectives, highlighting the scope of the apparent replication crisis in both natural and social sciences. The authors discuss how over-reliance on p-values and null hypothesis significance testing (NHST) has led to unreliable results and explore alternatives—such as Bayesian methods and effect size estimation—that go beyond the p<0.05 paradigm. Methodological reforms including open science practices and preregistration are reviewed for their role in improving research credibility. Throughout, the authors demonstrate computational aspects of reproducibility with Python code examples, demonstrating how researchers can use programming tools to ensure their quantitative results are robust and replicable.}
}

A. Swishchuk, "Replication Crisis in Math Finance? No Way, Its History Is Too Beautiful To Be False!," Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Anatoliy Swishchuk says no way, its history is too beautiful to be false!

@article{WILM:WILM12196,
title = {{Replication Crisis in Math Finance? No Way, Its History Is Too Beautiful To Be False!}},
author = {Swishchuk, A},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12196},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12196},
abstract = {Anatoliy Swishchuk says no way, its history is too beautiful to be false!}
}

A. Kumar, "The Positive Role of Academic Research in Finance," Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Dr Aneish Kumar discusses the positive role of academic research in finance.

@article{WILM:WILM12197,
title = {{The Positive Role of Academic Research in Finance}},
author = {Kumar, AK},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12197},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12197},
abstract = {Dr Aneish Kumar discusses the positive role of academic research in finance.}
}

M. Radley, "Retro Revolution/Brand New," Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex] [Abstract]

Morgan Supersport/McLaren MP4 12C

@article{WILM:WILM12198,
title = {{Retro Revolution/Brand New}},
author = {Radley, Milford},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12198},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12198},
abstract = {Morgan Supersport/McLaren MP4 12C}
}

J. Darasz, ," Wilmott, vol. 2025, iss. 140, 2025.
[Bibtex]

@article{WILM:WILM12199,
title = {{}},
author = {Darasz, Jan},
year = 2025,
journal = {Wilmott},
publisher = {Wilmott Magazine, Ltd},
volume = 2025,
number = 140,
doi = {10.54946/wilm.12199},
issn = {1541-8286},
url = {http://dx.doi.org/10.54946/wilm.12199},
abstract = {}
}