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 …

Option Pricing with Quantum Mechanical Methods

Posted on December 9, 2025 By Harbourfront Technologies

It is well known that put options are often overpriced, especially in equities. The literature is filled with papers explaining this phenomenon. However, most research still relies on the Black-Scholes-Merton framework, where the underlying asset follows a Geometric Brownian Motion (GBM). Reference also addresses this question, but it departs …

Enhancing the Wheel Strategy with Bayesian Networks

Posted on December 5, 2025 By Harbourfront Technologies

The option wheel strategy is a systematic trading approach that combines selling cash-secured puts and covered calls. The process begins by selling puts on a stock the investor is willing to own; if assigned, the investor acquires the shares and then sells covered calls against the position to collect additional …

Numerical Methods for Implied Volatility Surface Construction in Crypto Markets

Posted on December 1, 2025 By Harbourfront Technologies

The implied volatility surface is a fundamental building block in modern financial markets, as it underpins the pricing of both vanilla and exotic instruments and supports key risk-management functions such as hedging and scenario analysis. It has been modeled extensively in traditional finance; in crypto, however, few studies exist. Given …

ChatGPT as a Personal Financial Advisor: Capabilities and Limitations

Posted on November 27, 2025 By Harbourfront Technologies

Artificial intelligence (AI) is advancing rapidly, and traders and investors are finding ways to leverage this progress to gain an additional edge. Reference examines the effectiveness of AI—ChatGPT, in particular—in personal finance. Unlike previous studies that focus on quantitative aspects, the paper evaluates AI performance in a qualitative way. …

Option-Implied Information as a Predictor of Stock Returns

Posted on November 23, 2025 By Harbourfront Technologies

Options are powerful tools. They serve not only as an effective instrument for risk management and speculation, but they also provide valuable information about the underlying asset. That is, we can use option‐implied signals to predict the underlying. For example, when the correlation between the S&P 500 and its implied …

Calendar Anomalies in Digital Assets: A Study of Major Cryptocurrencies

Posted on November 19, 2025 By Harbourfront Technologies

In the financial market, seasonality refers to systematic return patterns that recur at specific calendar intervals. It has been studied extensively in the equity space, but little work has been carried out on cryptocurrencies. Reference addresses this gap. Specifically, it examines seasonality patterns of 10 major cryptocurrencies using data …

A Recent Review of Pairs Trading and Statistical Arbitrage

Posted on November 15, 2025 By Harbourfront Technologies

Pairs trading, or statistical arbitrage, is one of the oldest quantitative trading strategies, and it is still employed today. Over the years, it has expanded from classical distance methods to more sophisticated approaches, and practitioners have increasingly questioned its profitability. Reference provides a thorough review of the pairs trading …

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 …