Delta Hedging Under Fractional Brownian Motion

Posted on January 18, 2026 By Harbourfront Technologies

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 …

When More Information Hurts: Social Media and Investor Underperformance

Posted on January 14, 2026 By Harbourfront Technologies

In today’s digital era, social media is ubiquitous, and market participants are exposed to an unprecedented volume of financial information. While investors are arguably more informed, it remains an open question whether this translates into better and more disciplined decision-making. A recent incident illustrates this concern: a group of online …

Multifractality and Market Efficiency Across Asset Classes

Posted on January 10, 2026 By Harbourfront Technologies

The Fractal Market Hypothesis (FMH) is increasingly studied and applied by both finance academics and practitioners. We previously discussed the use of Detrended Fluctuation Analysis to estimate the Hurst exponent for major cryptocurrencies. Continuing this line of research, Reference applies Multifractal Detrended Fluctuation Analysis (MFDFA) to examine cryptocurrency, commodity, …

Incorporating Momentum into Option Pricing Models

Posted on January 6, 2026 By Harbourfront Technologies

The Black–Scholes–Merton (BSM) model is a cornerstone of derivative pricing; however, it is not without limitations, and researchers continue to extend it. Reference proposes an extension by incorporating intraday momentum into the BSM framework. This is achieved by introducing a drift term that represents intraday momentum, measured using a …

Quantifying Recency Bias in Investor Volatility Expectations

Posted on January 2, 2026 By Harbourfront Technologies

Investors and traders often suffer from behavioral biases, which is where behavioral finance originates. Among these biases, recency bias is probably the most detrimental, yet it has infrequently been studied in a comprehensive, quantitative manner. Reference addresses this gap by investigating recency bias in stocks with high idiosyncratic volatility …

Forecasting Market Crashes with Machine Learning Techniques

Posted on December 29, 2025 By Harbourfront Technologies

Predicting market direction is challenging, and forecasting market crashes is even more difficult, yet this remains a growing area of research. We previously discussed market correction prediction, and Reference continues this line of inquiry by examining how machine learning can be used to predict market crashes within the Adaptive …

Delta Hedging with Implied vs. Historical Volatility, Part 2

Posted on December 25, 2025 By Harbourfront Technologies

Hedging is an important topic in portfolio and risk management; however, relatively little research has been conducted in this area. Many questions remain open, such as when to hedge, how frequently to hedge, and which volatility measure should be used in hedging decisions. We have previously discussed whether hedging should …

Toward Rigorous Validation of Data-Driven Trading Strategies

Posted on December 21, 2025 By Harbourfront Technologies

With the rapid advancement in computing power, quantitative researchers can now develop trading strategies quickly, employing multiple variables and methodologies. These approaches extend beyond traditional time-series and statistical models to include machine learning and AI-based techniques. However, such models often deliver impressive in-sample results but fail in live trading, largely …

Intraday Elasticity Between VIX Futures and Volatility ETPs

Posted on December 17, 2025 By Harbourfront Technologies

VIX futures and Exchange-Traded Products (ETP) are widely used instruments for both volatility speculation and hedging, making a clear understanding of their behavior essential for these purposes. Several studies have examined the relationship between spot VIX, VIX futures, and volatility-linked ETPs. Reference contributes to this literature by analyzing the …

Short-Term Stock Price Forecasting Using Geometric Brownian Motion

Posted on December 13, 2025 By Harbourfront Technologies

In these days of big data, machine learning, and AI, many researchers are showing growing interest in sophisticated models for stock price prediction or to refine basic models of stock dynamics. Reference takes the opposite approach. It uses a classical model for stock price dynamics—the Geometric Brownian Motion (GBM)—and …