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How to Determine Credit Risks of a Startup

Posted on November 30, 2021 By 
There is a very interesting discussion on stackexchange on how to determine the credit risks of a startup. What would be the ideal way to develop the IFRS9 ECL model for startup fintech when there is no historical data. There are 2 answers to this question (as of November 2021) …
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Is It Better To Be Lucky Than Good?

Posted on November 28, 2021 By 
In the financial market, the logarithms of asset prices are often modeled as a normal distribution. Elsewhere in life, many things are normally distributed: people’s height, education levels, talents, working hours in a day, etc. Success, as measured by wealth, however, is not normally distributed. In fact, it’s heavily skewed …
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Does Intraday Momentum Exist in the Crude Oil Market

Posted on November 24, 2021 By 
Day trading is a popular discussion topic in the practitioners’ literature, the blogosphere, and social media. It receives,  however, less attention in the academic community. We have previously discussed a paper on the intraday momentum in the stock indices. Reference extended the research to the oil market. It used …
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Tail Risk Hedging Strategies: Are They Effective?

Posted on November 11, 2021 By 
Portfolio hedging is a risk-management practice that uses a number of strategies to mitigate the risks of any given portfolio. Tail risk hedging in particular is one of the techniques used in equity portfolio management. It basically involves buying put options in a certain amount to partially or fully protect …
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Using the Hurst Exponent and Stock Comovements for Pairs Trading

Posted on October 24, 2021 By 
Pairs trading, or statistical arbitrage, is an effective market-neutral trading strategy. Usually fundamental or quantitative analysis is used in order to determine which pairs are suitable for trading. We have previously discussed several pairs selection methods based on quantitative measures such as stock cointegration, correlation, pair distances, etc. Reference  …
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How Options Imbalances Affect Price Dynamics

Posted on October 20, 2021 By 
As discussed several times, markets can be loosely divided into two regimes: trending, and mean-reverting. The majority of trading literature has been devoted to exploiting these market characteristics. Less attention, however, is paid to the explanation of their existence. They are often attributed to investors’ over-, underreaction and/or market inefficiencies. …
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