State-Dependent Correlation Between the S&P 500 and the VIX

Posted on February 11, 2026 By Harbourfront Technologies

It is well known that the correlation between the S&P 500 and the VIX index is negative. In fact, arbitrage and hedging strategies have been designed around this relationship, for example, hedging vega risks with delta. However, practitioners also recognize that this correlation can break down and even turn positive. …

Multifractality and Its Underlying Drivers in Cryptocurrency Markets

Posted on February 7, 2026 By Harbourfront Technologies

Cryptocurrencies, like other financial time series, can be analyzed using traditional time series and econometric methods. However, they present additional challenges due to their distinctive characteristics, including extreme volatility, heavy-tailed distributions, and long-range temporal correlations, which warrant specialized examination. Reference analyzes the multifractality characteristics of major cryptocurrencies and investigates …

Improving Momentum Strategies with Machine Learning

Posted on February 3, 2026 By Harbourfront Technologies

Machine learning (ML) is increasingly prominent in modern finance and is being adopted across a wide range of applications. However, using ML to extract alpha remains nontrivial. Reference proposes a novel approach to improving the risk-adjusted returns of momentum strategies using machine learning. It employs three ML methods—linear regression, …

Portfolio Timing and Allocation with the Variance Risk Premium

Posted on January 30, 2026 By Harbourfront Technologies

The volatility risk premium (VRP) refers to the systematic difference between implied volatility and subsequent realized volatility. Much of the academic literature focuses on developing strategies to harvest the VRP directly. However, Reference departs from this conventional approach by proposing the use of the VRP as a market-timing mechanism. …

Dynamic Delta Hedging with Confidence-Weighted Signals

Posted on January 26, 2026 By Harbourfront Technologies

Delta hedging is a critical component of option portfolio management. In the research literature, most studies assume strict delta hedging, where portfolio delta is maintained at zero. Reference relaxes this restriction by introducing a partial delta hedging technique that conditions the hedge ratio on the confidence of the underlying’s …

Modeling High-Frequency Volatility with Volume-Driven Intraday Effects

Posted on January 22, 2026 By Harbourfront Technologies

Modeling and forecasting volatility is critically important for portfolio construction and risk management. Numerous volatility models exist, and one established line of research incorporates trading volume, motivated by the idea that volume reflects the rate of information flow into prices and is therefore positively related to volatility. Reference extends …

Delta Hedging Under Fractional Brownian Motion

Posted on January 18, 2026 By Harbourfront Technologies

The Black–Scholes–Merton (BSM) model is the most frequently used option pricing framework in finance. However, it relies on simplifying assumptions, some of which are not realistic. Ongoing efforts aim to extend and generalize the BSM model, and Reference represents a recent contribution in this direction. The paper proposes an …

When More Information Hurts: Social Media and Investor Underperformance

Posted on January 14, 2026 By Harbourfront Technologies

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 more disciplined decision-making. A recent incident illustrates this concern: a group of online …

Multifractality and Market Efficiency Across Asset Classes

Posted on January 10, 2026 By Harbourfront Technologies

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 Detrended Fluctuation Analysis (MFDFA) to examine cryptocurrency, commodity, …

Incorporating Momentum into Option Pricing Models

Posted on January 6, 2026 By Harbourfront Technologies

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 term that represents intraday momentum, measured using a …