HARBOURFRONT TECHNOLOGIES

PRACTICING QUANTITATIVE FINANCE

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DERIVATIVES

Volatility Term Structures of Individual Stocks

Follow us on LinkedIn In 1993, the Chicago Board Options Exchange (CBOE) launched the Volatility Index (VIX), which became a crucial gauge for expected short-term market volatility. It serves as the foundation for trading volatility futures and portfolio hedging. Initially, the VIX was model-dependent and …

RISK MANAGEMENT

Predicting Covariance Matrices of Returns

Follow us on LinkedIn Covariance plays an important role in portfolio construction as it measures the relationship between the returns of different assets in a portfolio. Understanding covariance helps investors to diversify their investments effectively by selecting assets that are not highly correlated with each …

TRADING

Trading Equity Indices Using Time Series Models

Follow us on LinkedIn Time series models like ARIMA, or Autoregressive Integrated Moving Average, and VAR, or Vector Autoregression, are essential tools for forecasting sequential data points over time, making them invaluable for investment analysis and decision-making. These models can capture and analyze historical patterns …

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