DERIVATIVES

Incorporating Momentum into Option Pricing Models

Posted on January 6, 2026 By Harbourfront Technologies

Subscribe to newsletter The Black–Scholes–Merton (BSM) model is a cornerstone of derivative pricing; however, it is not without limitations, and researchers continue to extend it. Reference proposes an extension by incorporating intraday momentum into the BSM framework. This is achieved by introducing a drift …

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RISK MANAGEMENT

Multifractality and Market Efficiency Across Asset Classes

Posted on January 10, 2026 By Harbourfront Technologies

Subscribe to newsletter The Fractal Market Hypothesis (FMH) is increasingly studied and applied by both finance academics and practitioners. We previously discussed the use of Detrended Fluctuation Analysis to estimate the Hurst exponent for major cryptocurrencies. Continuing this line of research, Reference applies Multifractal …

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TRADING

Quantifying Recency Bias in Investor Volatility Expectations

Posted on January 2, 2026 By Harbourfront Technologies

Subscribe to newsletter Investors and traders often suffer from behavioral biases, which is where behavioral finance originates. Among these biases, recency bias is probably the most detrimental, yet it has infrequently been studied in a comprehensive quantitative manner. Reference addresses this gap by investigating …

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Latest Post

When More Information Hurts: Social Media and Investor Underperformance

Posted on January 14, 2026 By Harbourfront Technologies

Subscribe to newsletter In today’s digital era, social media is ubiquitous, and market participants are exposed to an unprecedented volume of financial information. While investors are arguably more informed, it remains an open question whether this translates into better and …

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