Using Twitter Data as Sentiment Indicator, a Trading Strategy Based on President Trump’s Twits

Posted on April 30, 2021 By Harbourfront Technologies

Trading using market sentiment indicators is an approach that analyzes the market sentiment data to make trading and investing decisions. Due to the increasing popularity of social networks, social media data in general and Twitter data in particular have been used growingly in the construction of sentiment indicators. Sentiment analysis …

Using Push-Response, Variance-Ratio, and P+/P- Tests to Characterize the Markets.

Posted on April 26, 2021 By Harbourfront Technologies

We typically divide the markets into 2 regimes: trending or mean-reverting. In a recent paper , the authors not only divided the markets into these 2 regimes but also added a third one, a so-called random walk regime. Investors generally go long when the market is rising and short when …

Trend-Following Trading System, Quantitative Trading in Python

Posted on April 18, 2021 By Harbourfront Technologies

In a previous post, we demonstrated the mean-reverting and trending properties of SP500. We subsequently developed a trading system based on the mean-reverting behavior of the index. In this installment, we will develop a trend-following trading strategy. Trend following or trend trading is a trading strategy according to which one …

What is a Credit Default Swap?

Posted on April 13, 2021 By Harbourfront Technologies

Investors can use various hedging techniques to mitigate the risks associated with their equity and debt instruments. These techniques include the use of options, swaps, forwards, futures, etc. Usually, these use derivates, which are financial securities that get their value from an underlying asset or group of assets. One method …

Can the SP500 Index be Predicted?

Posted on March 31, 2021 By Harbourfront Technologies

In a previous post, we presented a time series analysis of the SP500 index and demonstrated its mean-reverting and trending behaviour. Subsequently, we designed trading strategies exploiting these mean-reverting and trending properties of SP500. Does this mean that the SP500, and stock market indices in general, can be predicted? In …

Mean-Reverting Trading System-Quantitative Trading in Python

Posted on March 26, 2021 By Harbourfront Technologies

In a previous post, we demonstrated the mean-reverting and trending properties of SP500. In this follow-up post, we will develop a simple trading system exploiting the mean-reverting behaviour of this market index. To generate buy and sell signals, we will use simple moving averages as noise filters. The simple moving …

Autocorrelation Properties of SP500-Quantitative Trading in Python

Posted on March 20, 2021 By Harbourfront Technologies

A technical or quantitative trading system on a linear (i.e. delta 1) instrument is basically a bet on the autocorrelation of the underlying. The autocorrelation properties of the underlying can be examined directly through autocorrelation functions or indirectly through the Hurst exponent. In this post, we are going to examine …

Pricing of Weather Derivatives Using Monte Carlo Simulations

Posted on February 28, 2021 By Harbourfront Technologies

Derivatives are financial products whose values are determined by the current price of the underlying asset or portfolio. Weather derivatives are a particular class of financial instruments that individuals or companies can use in support of risk management in relation to unpredictable or adverse weather conditions. While some may see …

How to Determine Implied Dividend Yield-Derivative Valuation in Excel

Posted on February 27, 2021 By Harbourfront Technologies

Dividend yield is an input into the option valuation model that often receives little attention from practitioners. This is probably because the majority of companies do not pay dividends. And for those that pay, an inaccuracy in the estimation of the dividend yield often has a small impact on the …

Exponentially Weighted Historical Volatility in Excel-Volatility Analysis in Excel

Posted on February 19, 2021 By Harbourfront Technologies

Historical volatility (HV) is a useful measure to gauge market uncertainty. Recall that, In finance, volatility (usually denoted by σ) is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market …