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Quantitative Trading in Credit Markets

Posted on February 6, 2022 By 
Quantitative trading, which relies on computer algorithms to make decisions about when and how to trade, has become a more dominant form of trading in equity markets. This type of trading employs mathematical models to identify opportunities and optimize trades. While quantitative trading is prevalent in equity markets, it is …
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Price Dynamics of Volatility Indices

Posted on February 4, 2022 By 
We have previously discussed the price dynamics of the SP500 volatility index, VIX. A recent article investigated the trending/mean-reverting properties of several volatility indices. The paper’s objective is to use the autoregressive fractionally integrated moving average (ARFIMA) model to extend research on Hurst exponent to the universe of volatility …
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Genetic Algorithm for Pairs Trading

Posted on February 1, 2022 By 
We have discussed previously how a complex trading system can be profitable. In a similar context, Reference applied a genetic algorithm to pairs trading. The authors developed a sophisticated genetic optimization algorithm that utilizes Bollinger Bands and correlation-coefficient for pairs trading. The algorithm encoded six important variables into a …
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Variance and Volatility Swaps

Posted on January 30, 2022 By 
Forward contracts are a crucial part of hedging and speculation for investors. These contracts allow two parties to buy or sell an asset at a specific price and future time. Usually, they also include the commodity, delivery date, and amount for the agreement. Forward contracts may come in many forms …
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Do Hedge Funds Add Value?

Posted on January 23, 2022 By 
Despite the growing popularity of passive investing, active hedge fund managers are still adding value to their investors’ portfolios. While passively managed funds can be a great option for some investors, active management can provide added benefits for those who are looking for better risk-adjusted returns and diversification, especially during …
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Sales and Purchase Agreement

Posted on January 21, 2022 By 
Financial transactions are the essence of a business. These transactions allow companies and other entities to acquire products or services. Once they do so, they can resell them to generate profits. While most transactions are straightforward, they may also require a legal form. For that purpose, sales and purchase agreements …
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Using Machine Learning to Predict Market Volatility

Posted on January 20, 2022 By 
The unpredictability of the markets is a well-known fact. Despite this, many traders and portfolio managers continue to try to predict market volatility and manage their risks accordingly. Usually, econometric models such as GARCH are used to forecast market volatility. In recent years, machine learning has been shown to be …
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Can Options Volume Predict Market Returns?

Posted on January 17, 2022 By 
Most of the research in equity and index options has been devoted to volatility and the volatility risk premium. Relatively less attention is paid to options volume. To tackle this issue, article examined options volume from the perspective of in-the-money options order imbalance. It showed that the public directional …
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