DERIVATIVES

Fair Volatility: A Multifractional Model for Realized Volatility

Posted on November 11, 2025 By Harbourfront Technologies

Subscribe to newsletter Volatility is an important measure of market uncertainty and risk. For decades, realized volatility has been computed from the squared returns. Recent research, however, has highlighted several deficiencies in traditional volatility measures. Reference continues this line of inquiry, identifying three key …

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RISK MANAGEMENT

Volatility, Skewness, and Kurtosis in Bitcoin Returns: An Empirical Analysis

Posted on November 7, 2025 By Harbourfront Technologies

Subscribe to newsletter As cryptocurrencies become mainstream, researchers have begun examining their statistical properties, particularly volatility, which represents the second moment of the return distribution. However, limited attention has been given to higher-order moments, specifically skewness and kurtosis. Given that cryptocurrencies are highly volatile and …

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TRADING

Market Timing Through Volatility Clustering and Causal Structure Identification

Posted on October 22, 2025 By Harbourfront Technologies

Subscribe to newsletter Volatility plays a crucial role in trading and risk management. These days, more portfolio managers are aware of and utilize volatility measures, even if they do not trade options. For example, we have previously discussed volatility-managed portfolios, where asset volatilities are used …

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Latest Post

Probabilistic AI in Finance: A Comprehensive Literature Review

Posted on November 3, 2025 By Harbourfront Technologies

Subscribe to newsletter Probabilistic AI is a branch of artificial intelligence that models uncertainty explicitly, allowing systems to reason and make predictions even when data is incomplete or noisy. Instead of producing single-point estimates, it generates probability distributions over possible …

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