DERIVATIVES

Delta Hedging Under Fractional Brownian Motion

Posted on January 18, 2026 By Harbourfront Technologies

Subscribe to newsletter The Black–Scholes–Merton (BSM) model is the most frequently used option pricing framework in finance. However, it relies on simplifying assumptions, some of which are not realistic. Ongoing efforts aim to extend and generalize the BSM model, and Reference represents a recent …

Read More

RISK MANAGEMENT

Entropy-Based Regime Detection of Tail Risks

Posted on March 7, 2026 By Harbourfront Technologies

Subscribe to newsletter Identifying market regimes is particularly important in portfolio and risk management. Typically, markets are classified as bullish or bearish, or as being in high- or low-volatility regimes. Reference proposes an alternative classification by distinguishing between “normal” and heavy-tailed regimes. Specifically, the …

Read More

TRADING

Improving Pairs Trading with Cluster-Based Pair Selection

Posted on March 3, 2026 By Harbourfront Technologies

Subscribe to newsletter Pairs trading is a classic quantitative trading strategy. Despite its widespread use, it continues to attract research attention. A recent line of research focuses on grouping underlyings into clusters with similar characteristics. We recently discussed such grouping using fundamental metrics. Reference  …

Read More

Latest Post

Evaluating a Logistic Regression Trading Framework

Posted on February 27, 2026 By Harbourfront Technologies

Subscribe to newsletter Regression is one of the oldest predictive methods used in finance and remains widely applied today. Reference revisits this “simple” approach by employing logistic regression, which is particularly suited for modeling binary outcomes, such as whether …

Read More