Wrap-Up 2025: Popular Topics and Reader Engagement #finance #trading #investing As 2025 comes to a close and 2026 approaches, I hope you are using this period to spend time with family, recharge, reflect on the year that is ending, and plan for the year…

Does Momentum Exist in the Football (Soccer) Market? #finance #trading #investing Football (or soccer) betting is one of the most popular forms of sports betting. There are many different ways to bet on football, but the most common is simply betting on…

Delta Hedging with Implied vs. Historical Volatility, Part 2 #finance #trading #investing Hedging is an important topic in portfolio and risk management; however, relatively little research has been conducted in this area. Many questions remain open, su…

Risk, Leverage, and Optimal Betting in Financial Markets from @harbourfrontquant.substack.com #quant

Toward Rigorous Validation of Data-Driven Trading Strategies #finance #trading #investing With the rapid advancement in computing power, quantitative researchers can now develop trading strategies quickly, employing multiple variables and methodologies.…

Trading Butterfly Option Positions: a Long/Short Approach #finance #trading #investing A butterfly option position is an advanced trading strategy that requires a combination of calls and/or puts with three different strike prices of the same maturity. …

Is It Worth Reading Financial News? #finance #trading #investing A recession is a significant decline in economic activity spread across the economy, lasting more than a few months. It is visible in industrial production, employment, real income, and ot…

Intraday Elasticity Between VIX Futures and Volatility ETPs #finance #trading #investing VIX futures and ETPs are widely used instruments for both volatility speculation and hedging, making a clear understanding of their behavior essential for these pur…

Risk, Leverage, and Optimal Betting in Financial Markets #finance #trading #investing Most research in portfolio management focuses on alpha generation; however, another critical component of portfolio construction is position sizing. In this edition, w…

Short-Term Stock Price Forecasting Using Geometric Brownian Motion #finance #trading #investing In these days of big data, machine learning, and AI, many researchers are showing growing interest in sophisticated models for stock price prediction or to r…

Pricing Commodity Derivatives Using Principal Component Analysis #finance #trading #investing Commodity derivatives are financial instruments whose value is based on an underlying commodity. These derivatives can be used for hedging purposes or for spec…

Option Pricing with Quantum Mechanical Methods #finance #trading #investing It is well known that put options are often overpriced, especially in equities. The literature is filled with papers explaining this phenomenon. However, most research still rel…

Identifying Correlation Risks of Large Portfolios #finance #trading #investing Correlation is a statistical measure of the relationship between two variables. In trading, correlation is used to identify relationships between different securities. For ex…

Enhancing the Wheel Strategy with Bayesian Networks #finance #trading #investing The option wheel strategy is a systematic approach that combines selling cash-secured puts and covered calls. The process begins by selling puts on a stock the investor is …

Numerical Methods for Implied Volatility Surface Construction in Crypto Markets #finance #trading #investing The implied volatility surface is a fundamental building block in modern financial markets, as it underpins the pricing of both vanilla and exot…

The Effectiveness of Collar Structures in Equity and Commodity Markets #finance #trading #investing There are several popular options strategies frequently discussed in the trading and investing literature, as well as on social media. In a previous news…

ChatGPT as a Personal Financial Advisor: Capabilities and Limitations #finance #trading #investing Artificial intelligence (AI) is advancing rapidly, and traders and investors are finding ways to leverage this progress to gain an additional edge. Refere…

How High-Frequency Trading Impacts the Markets #finance #trading #investing High-frequency trading (HFT) is a type of algorithmic trading that uses computer programs to place orders at very fast speeds. High-frequency traders use sophisticated algorithm…

Option-Implied Information as a Predictor of Stock Returns #finance #trading #investing Options are powerful tools. They serve not only as an effective instrument for risk management and speculation, but they also provide valuable information about the …

Volatility vs. Volatility of Volatility: Conceptual and Practical Differences from @harbourfrontquant.substack.com #quant

Fractal Market Hypothesis: From Theory to Practice from @harbourfrontquant.substack.com #quant

Calendar Anomalies in Digital Assets: A Study of Major Cryptocurrencies #finance #trading #investing In the financial market, seasonality refers to systematic return patterns that recur at specific calendar intervals. It has been studied extensively in …

A Trading Strategy Based on the Correlation Between the VIX and S&P500 Indices #finance #trading #investing The VIX is an index that measures the volatility of the S&P 500. It is often referred to as the “fear index” because it spikes when investors are…

A Recent Review of Pairs Trading and Statistical Arbitrage #finance #trading #investing Pairs trading, or statistical arbitrage, is one of the oldest quantitative trading strategies, and it is still employed today. Over the years, it has expanded from c…

Fractal Market Hypothesis:From Theory to Practice #finance #trading #investing Fractal Market Hypothesis is an alternative framework that models financial markets through long-memory and multi-scale dynamics. There is a growing trend in the industry to …

Can Exchange Traded Funds Increase Market Volatility? #finance #trading #investing An Exchange Traded Fund (ETF) is a fund that tracks an index, sector, or basket of assets just like a traditional mutual fund, but trades like a stock on an exchange. ETF…

Fair Volatility: A Multifractional Model for Realized Volatility #finance #trading #investing Volatility is an important measure of market uncertainty and risk. For decades, realized volatility has been computed from the squared returns. Recent research…

Trading Volatility ETFs Using the VIX Term Structure #finance #trading #investing The volatility term structure is the relationship between implied volatility and time to expiration. The term structure is important because it provides information about …

Volatility, Skewness, and Kurtosis in Bitcoin Returns: An Empirical Analysis #finance #trading #investing As cryptocurrencies become mainstream, researchers have begun examining their statistical properties, particularly volatility, which represents the…

Can We Replace Volatility in the Options Pricing Models? #finance #trading #investing The Black-Sholes-Merton model is a mathematical model for pricing financial options. The model is used to calculate the theoretical value of an option, which is the am…

Probabilistic AI in Finance: A Comprehensive Literature Review #finance #trading #investing Probabilistic AI is a branch of artificial intelligence that models uncertainty explicitly, allowing systems to reason and make predictions even when data is inc…

Volatility vs. Volatility of Volatility: Conceptual and Practical Differences #finance #trading #investing Volatility and volatility of volatility are highly correlated and share many similar characteristics. However, there are subtle but important diff…

A VIX Futures Trading System #finance #trading #investing VIX futures are a type of derivative that allow investors to bet on the future direction of the CBOE Volatility Index (VIX). The VIX is a measure of market uncertainty and is often referred to a…

Expiration Effects and Return Anomalies in Option Markets #finance #trading #investing A growing body of research has recently investigated anomalies in option returns, such as option return momentum, and these anomalies are often attributed to market i…

Is the Momentum Anomaly Still Present in the Financial Markets? #finance #trading #investing In the financial markets, the momentum anomaly is a phenomenon in which financial assets that have had recent positive returns tend to continue performing well,…

Feedback Effect in the Foreign Exchange Market #finance #trading #investing The Black–Scholes-Merton model is the most frequently used option pricing model in the financial industry. However, it made use of assumptions that are not always realistic. A c…

Predicting Volatility Risk Premium Through Sector Implied Correlation #finance #trading #investing The volatility risk premium is a common phenomenon that exists in the volatility space. It is often defined as a stock’s or index’s implied volatility (IV…

Dynamic Correlations Between Bitcoin and the NASDAQ-100 Index #finance #trading #investing As cryptocurrencies, particularly Bitcoin (BTC), become more mainstream, investors have noticed an increasing correlation between BTC and the stock market. Some i…

Modeling Gold for Prediction and Portfolio Hedging #finance #trading #investing Gold prices have risen sharply in recent months, prompting renewed debate over whether the market has reached its peak. In this edition, we examine quantitative models used …

Does Trend Following Work on Single-Name Stocks? #finance #trading #investing Trend following is a popular trading strategy used by Commodity Trading Advisors (CTA) and Hedge Funds around the world. The traded assets are often futures on commodities, FX…

Market Timing Through Volatility Clustering and Causal Structure Identification #finance #trading #investing Volatility plays a crucial role in trading and risk management. These days, more portfolio managers are aware of and utilize volatility measures…

Using Push-Response, Variance-Ratio, and P+/P- Tests to Characterize the Markets #finance #trading #investing We typically divide the markets into 2 regimes: trending or mean-reverting. In a recent paper [1], the authors not only divided the markets int…

Overlaying Options Spreads on a Technical Trading Strategy #finance #trading #investing Options are complex financial instruments that often attract sophisticated traders and investors. In investment banks and hedge funds, they’re often the instrument o…

Tail Risk Hedging and Trend Following: A Combined Framework #finance #trading #investing Investing in equities offers strong growth potential, but a key drawback is exposure to periodic drawdowns, which many investors find psychologically difficult to e…

Valuation of European Options with Stochastic Interest Rates and Transaction Costs #finance #trading #investing Black-Scholes-Merton (BSM) is a celebrated option pricing model that is used frequently in the financial industry [1]. The model was develope…

Effectiveness of Covered Call Strategy in Developed and Emerging Markets #finance #trading #investing Covered call strategies are often promoted as an income-generation tool for investors seeking steady returns with reduced risk. But how effective are t… ift.tt/xfYGSvQ

The Role of Investor Attention Index in Explaining Bitcoin Volatility #finance #trading #investing Modeling and forecasting volatility is essential in trading and risk management. Extensive research has been conducted on volatility modeling in tradition…

Fractional Geometric Brownian Motion and Its Application to Futures Arbitrage #finance #trading #investing Geometric Brownian Motion (GBM) is the fundamental stochastic process used to model asset prices in continuous time. It serves as the foundation f…

Cointegration or Correlation, Which Method is Better for Pair Trading? #finance #trading #investing Pair trading or statistical arbitrage is a popular quantitative trading strategy. Basically, we choose a pair of assets for trading, and when the assets’…

How Retail Trading Affects Stock Market Volatility and Trading Strategies #finance #trading #investing Retail traders are often called noise, or uninformed traders as they contribute in large part to the noise in the stock market. The pandemic just acce…