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Extreme VIX: Regime Shifts and Return Predictability

Posted on February 19, 2026 By 
The Volatility Index (VIX) is widely regarded as a forward-looking measure of market uncertainty and investor sentiment. Although it has been extensively studied, certain aspects remain insufficiently explored. Reference investigates the implications of extreme VIX values, defined as VIX > 45, and examines two key research questions in this …
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Volume Effects in Pairs Trading Performance

Posted on February 15, 2026 By 
Volume is an important factor that has not been sufficiently studied in the literature, although increasing attention is now being devoted to its role. For example, we recently discussed the link between intraday volume and volatility. Continuing this line of inquiry, Reference revisits the age-old quantitative strategy of pairs …
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Multifractality and Its Underlying Drivers in Cryptocurrency Markets

Posted on February 7, 2026 By 
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 …
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Improving Momentum Strategies with Machine Learning

Posted on February 3, 2026 By 
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, …
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Dynamic Delta Hedging with Confidence-Weighted Signals

Posted on January 26, 2026 By 
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 …
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Modeling High-Frequency Volatility with Volume-Driven Intraday Effects

Posted on January 22, 2026 By 
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 …
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Delta Hedging Under Fractional Brownian Motion

Posted on January 18, 2026 By 
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 …
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