Dynamic Correlations Between Bitcoin and the NASDAQ-100 Index

Posted on October 26, 2025 By Harbourfront Technologies

As cryptocurrencies, particularly Bitcoin (BTC), become more mainstream, investors have noticed an increasing correlation between BTC and the stock market. Some investors even argue that BTC now functions as a substitute risk asset for the technology sector. Reference presents a quantitative study on the correlation between BTC and the …

Market Timing Through Volatility Clustering and Causal Structure Identification

Posted on October 22, 2025 By Harbourfront Technologies

Volatility plays a crucial role in trading and risk management. These days, more portfolio managers are aware of and utilize volatility measures, even if they do not trade options. For example, we have previously discussed volatility-managed portfolios, where asset volatilities are used to size positions. Reference contributes to this …

Tail Risk Hedging and Trend Following: A Combined Framework

Posted on October 18, 2025 By Harbourfront Technologies

Investing in equities offers strong growth potential, but a key drawback is exposure to periodic drawdowns, which many investors find psychologically difficult to endure. To address this, some have proposed tail risk hedging strategies. However, portfolio managers are often reluctant to adopt them due to high carry costs, and researchers …

The Role of Investor Attention Index in Explaining Bitcoin Volatility

Posted on October 14, 2025 By Harbourfront Technologies

Modeling and forecasting volatility is essential in trading and risk management. Extensive research has been conducted on volatility modeling in traditional financial markets, and recently, attention has increasingly been directed toward cryptocurrency volatility. The standard approach often relies on econometric models. Reference applied the GARCH-MIDAS model to study Bitcoin …

Fractional Geometric Brownian Motion and Its Application to Futures Arbitrage

Posted on October 10, 2025 By Harbourfront Technologies

Geometric Brownian Motion (GBM) is the fundamental stochastic process used to model asset prices in continuous time. It serves as the foundation for pricing models such as the Black–Scholes–Merton option pricing model. However, some critics argue that the assumptions of GBM are unrealistic, and researchers continue to explore ways to …

Impact of Artificial Intelligence on Financial Markets: a Quantitative and Qualitative Analysis

Posted on October 6, 2025 By Harbourfront Technologies

Artificial intelligence (AI) has become an integral part of modern finance, transforming how institutions analyze data, manage risk, and execute trades. By leveraging machine learning algorithms and natural language processing, AI systems can identify complex patterns in large financial datasets, forecast market movements, and detect anomalies that might signal fraud …

Return and Variance Risk Premia in the Bitcoin Market

Posted on October 2, 2025 By Harbourfront Technologies

The volatility risk premium (VRP) has been studied extensively in the literature, especially in equities. However, little work has been done in the crypto space. Reference fills this gap by investigating the Bitcoin return premium (BP) and the Bitcoin variance risk premium (BVRP). The authors utilized Bitcoin options data …

Incorporating Reflexivity into the Black–Scholes-Merton Framework

Posted on September 28, 2025 By Harbourfront Technologies

The Black-Scholes model (BSM) is a mathematical framework used to value options. Developed by Fischer Black, Myron Scholes, and Robert Merton in the early 1970s, it provides a formula for calculating the fair price of a European call or put option. The model assumes markets are efficient, asset returns follow …

The Effectiveness of Dollar Cost Averaging Under Varying Market Conditions

Posted on September 24, 2025 By Harbourfront Technologies

Dollar-cost averaging (DCA) is an investment strategy where you invest a fixed amount of money at regular intervals, regardless of market conditions. By consistently buying over time, you smooth out entry prices, reduce the impact of short-term volatility, and avoid the risk of mistiming the market with a single large …

The Volatility Risk Premium Around Macroeconomic Announcements

Posted on September 20, 2025 By Harbourfront Technologies

Markets are typically volatile, and price movements accelerate during macroeconomic announcements. We have discussed the macroeconomic announcement premium and the related beta arbitrage strategy. Along this line of research, Reference examined the returns of delta-neutral straddles around macroeconomic announcements. By analyzing these returns, one can draw conclusions about the …