Author: Harbourfront Technologies

A VIX Futures Trading System

VIX futures are a type of derivative that allow investors to bet on the future direction of the CBOE Volatility Index (VIX). The VIX is a measure of market uncertainty and is often referred to as the “fear index.” VIX futures allow investors to hedge against or speculate on future …

Issues with Cointegration in Pairs Trading

Cointegration is a statistical property of certain types of data that indicates a strong relationship between them. When two variables are cointegrated, it means that they move together over time and tend to return to the same level after periods of divergence. This makes them ideal candidates for pairs trading, …

Collateral Choice Option

Derivative transactions may include collateral offered by the parties involved. These transactions require both parties to document the security provided by either one. Therefore, they may use a credit support annex (CSA). This document may give rise to a collateral choice option. Before discussing this option, it is crucial to …

Evaluating Mutual Fund Performance

A mutual fund is an investment vehicle that is made up of a pool of funds from many different investors. The money in the fund is then used to purchase a variety of different securities, such as stocks, bonds, and other assets. Mutual funds are a popular way for investors …

Probabilities of a Recession in 2023

A recession is a significant decline in economic activity spread across the economy, lasting more than a few months. It is visible in industrial production, employment, real income, and wholesale-retail trade. The technical indicator of a recession is two consecutive quarters of negative economic growth as measured by a country’s …

How Effective Is Technical Analysis?

Technical analysis is the study of past price patterns to identify market trends and trading opportunities. Technical analysts believe that the collective actions of all participants in the market, including buyers and sellers, producers and consumers, investors and speculators, etc., influence asset prices. By analyzing price data, technical analysts aim …