HARBOURFRONT TECHNOLOGIES

PRACTICING QUANTITATIVE FINANCE

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DERIVATIVES

Skewness Risk Premium in the Options Market

Follow us on LinkedIn Skewness of returns is a statistical measure that captures the asymmetry of the distribution of an asset’s returns over a specified period. It is particularly important in risk management and option pricing, where the skewness of returns can affect the valuation …

RISK MANAGEMENT

Realized Volatility, the Good and the Bad

Follow us on LinkedIn Realized volatility (RV) refers to the actual movement of an asset’s price over a specific period, typically measured using high-frequency data. Unlike implied volatility, which is derived from options prices and reflects market expectations, realized volatility is computed from historical price …

TRADING

Further on the Profitability of Pairs Trading

Follow us on LinkedIn Pairs trading is a market-neutral trading strategy that involves taking simultaneous long and short positions in two correlated stocks to profit from their relative price movements. There are recent research papers that argue that pairs trading is no longer profitable, especially …

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