DERIVATIVES

Variational Autoencoders for Arbitrage-Free Volatility Modeling

Posted on March 24, 2025 By Harbourfront Technologies

Subscribe to newsletter Machine learning and AI are transforming investing by enabling data-driven decision-making, uncovering hidden patterns, and automating complex strategies. From algorithmic trading and portfolio optimization to risk management and sentiment analysis, AI-driven models process vast amounts of data with speed and precision, identifying …

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RISK MANAGEMENT

Improving Portfolio Management with Volatility of Volatility

Posted on March 20, 2025 By Harbourfront Technologies

Subscribe to newsletter Managing portfolios using volatility as a filter has proven effective. Reference builds on this research by proposing the use of volatility of volatility for portfolio management. The rationale behind using volatility of volatility is that it represents uncertainty. Unlike risk, which …

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TRADING

Interest Rate Sensitivity in Low-Volatility Investing

Posted on March 28, 2025 By Harbourfront Technologies

Subscribe to newsletter Low-volatility investing is a strategy that focuses on stocks with historically lower price fluctuations, aiming to achieve strong risk-adjusted returns. Despite conventional finance theory suggesting that higher risk should lead to higher returns, research has shown that low-volatility stocks often outperform their …

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Latest Post

Incorporating Liquidity into Option Pricing: a Stochastic Approach

Posted on March 16, 2025 By Harbourfront Technologies

Subscribe to newsletter Liquidity is an overlooked research area, yet it plays a crucial role in financial markets. Trading system developers often use the bid-ask spread as a proxy for liquidity, but this approach is less effective in the options …

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