DERIVATIVES

Variational Autoencoders in Volatility and Option Pricing

Posted on March 27, 2026 By Harbourfront Technologies

Subscribe to newsletter The Black–Scholes–Merton model is a groundbreaking and foundational framework in option pricing; however, it has well-known limitations. Several extensions have been developed to address these issues, including stochastic volatility and Lévy process-based models, which are largely parametric. Reference proposes a semi-parametric …

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RISK MANAGEMENT

Regime Classification Framework for Mean-Reverting and Trending Markets

Posted on March 31, 2026 By Harbourfront Technologies

Subscribe to newsletter Regime classification is important in asset and risk management. Traditional approaches classify regimes based on direction, bullish or bearish, and volatility, high or low. Reference departs from this framework and instead classifies markets as mean-reverting or trending. Specifically, it uses return …

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TRADING

The Impact of Retail Options Trading on the Implied Volatility Surface

Posted on March 23, 2026 By Harbourfront Technologies

Subscribe to newsletter Retail options trading is rising rapidly, driven by factors such as the growth of retail brokers, the popularity of social media, and more flexible working hours. Alongside this trend, there has been an increased interest in research on retail options trading behavior. …

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Latest Post

Evaluating Machine Learning Models for S&P500 Return Prediction

Posted on March 19, 2026 By Harbourfront Technologies

Subscribe to newsletter Machine learning (ML) is increasingly applied in finance. In trading in particular, researchers aim to determine whether ML can generate consistent alpha. Reference revisits this question. The authors utilize a long sample dataset from 1970 to …

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