Fair Volatility: A Multifractional Model for Realized Volatility

Posted on November 11, 2025 By Harbourfront Technologies

Volatility is an important measure of market uncertainty and risk. For decades, realized volatility has been computed from the squared returns. Recent research, however, has highlighted several deficiencies in traditional volatility measures. Reference continues this line of inquiry, identifying three key inefficiencies in conventional volatility estimation, Volatility is path-independent …

Volatility, Skewness, and Kurtosis in Bitcoin Returns: An Empirical Analysis

Posted on November 7, 2025 By Harbourfront Technologies

As cryptocurrencies become mainstream, researchers have begun examining their statistical properties, particularly volatility, which represents the second moment of the return distribution. However, limited attention has been given to higher-order moments, specifically skewness and kurtosis. Given that cryptocurrencies are highly volatile and exhibit heavy-tail risks, their return distributions are not …

Probabilistic AI in Finance: A Comprehensive Literature Review

Posted on November 3, 2025 By Harbourfront Technologies

Probabilistic AI is a branch of artificial intelligence that models uncertainty explicitly, allowing systems to reason and make predictions even when data is incomplete or noisy. Instead of producing single-point estimates, it generates probability distributions over possible outcomes, capturing both what is known and how confident the model is. Reference …

Expiration Effects and Return Anomalies in Option Markets

Posted on October 30, 2025 By Harbourfront Technologies

A growing body of research has recently investigated anomalies in option returns, such as option return momentum, and these anomalies are often attributed to market inefficiencies. Reference , however, proposed and tested a different hypothesis: these anomalies originate from option returns around expiration days. Specifically, the author isolated the return …

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 framework. However, some critics argue that the assumptions of GBM are unrealistic, and researchers continue to explore ways to modify and …

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 …