How Well Overfitted Trading Systems Perform Out-of-Sample?

Posted on June 29, 2022 By Harbourfront Technologies

In-sample overfitting is a serious problem when designing trading strategies. This is because a strategy that worked well in the past may not work in the future. In other words, the strategy may be too specific to the conditions that existed in the past and may not be able to …

Trading Bitcoin Systematically: Is It Possible?

Posted on June 26, 2022 By Harbourfront Technologies

Bitcoin is a decentralized digital currency, without a central bank or single administrator, that can be sent from user to user on the peer-to-peer bitcoin network without the need for intermediaries. Transactions are verified by network nodes through cryptography and recorded in a public distributed ledger called a blockchain. Bitcoin …

Pairs Trading Using the Hurst Exponent of Product

Posted on June 23, 2022 By Harbourfront Technologies

Pairs trading is a market-neutral trading strategy that seeks to profit from the relative movements of two correlated assets. The key to pairs trading is finding two assets that are highly correlated. This can be done by looking at historical data or using a correlation coefficient. We can also use …

What Causes Inflation? the Reason Behind the Current Inflation

Posted on June 20, 2022 By Harbourfront Technologies

Inflation is an economic phenomenon characterized by a sustained increase in the general price level of goods and services in an economy. The main determinants of inflation are: Money supply: An increase in the money supply leads to an increase in prices as more money chases the same number of …

Statistical Arbitrage in the Sport Market

Posted on June 17, 2022 By Harbourfront Technologies

Statistical arbitrage is a trading strategy that exploits the differences in prices between different asset classes. It has been employed, however, not only in the financial market but also in sports betting. Sports betting is a form of gambling that involves wagering on the outcome of a sporting event. Of …

Pricing Convertible Bonds Using a Neural Networks Based Approach

Posted on June 14, 2022 By Harbourfront Technologies

A convertible bond is a bond that can be converted into a certain amount of the company’s stock at specified prices and dates. Convertible bonds are usually issued by young, growing companies that want to raise capital without giving up too much control of their company. For example, a company …

Using VIX Futures Term Structure for Trading

Posted on June 11, 2022 By Harbourfront Technologies

The volatility index, VIX, is a measure of the stock market’s expectation of volatility over the next 30 days. The VIX is calculated by using the prices of options on the S&P 500 Index. The VIX futures are derivative contracts that allow investors to bet on the future values of …

Corporate Job Postings as Alternative Data

Posted on June 8, 2022 By Harbourfront Technologies

The last decade has seen the rise in popularity of alternative data in financial analysis. This data is generally defined as any information that is not typically used in financial analysis, such as social media data, satellite imagery, and weather data. While alternative data has been used by hedge funds …

Validity of Research in Asset Management

Posted on June 5, 2022 By Harbourfront Technologies

Academic and practitioners’ literature is a source for many investment and trading ideas. However, it is often criticized for producing ideas that do not work in practice. A problem we have seen repeatedly is that the published papers, more often than not, only present in-sample results and disregard out-of-sample ones. …

Lead-Lag Relationship Between the VIX Index and VIX Futures

Posted on June 2, 2022 By Harbourfront Technologies

In a previous post, we discussed the lead-lag relationship between the volatility index, VIX, and SPX futures. In this post, we are going to look at the relationship between the VIX index and VIX futures. The volatility index, VIX, is a measure of the stock market’s expectation of volatility over …