We have previously discussed the price dynamics of the SP500 volatility index, VIX. A recent article investigated the trending/mean-reverting properties of several volatility indices. The paper’s objective is to use the autoregressive fractionally integrated moving average (ARFIMA) model to extend research on Hurst exponent to the universe of volatility …

We have discussed previously how a complex trading system can be profitable. In a similar context, Reference applied a genetic algorithm to pairs trading. The authors developed a sophisticated genetic optimization algorithm that utilizes Bollinger Bands and correlation-coefficient for pairs trading. The algorithm encoded six important variables into a …

Forward contracts are a crucial part of hedging and speculation for investors. These contracts allow two parties to buy or sell an asset at a specific price and future time. Usually, they also include the commodity, delivery date, and amount for the agreement. Forward contracts may come in many forms …

Optimal portfolio allocation is a hard problem to solve in finance. Determining the best way to allocate assets and strategies across different investment vehicles in order to achieve the best possible risk-adjusted return is a complex task that has been studied by mathematicians and financial experts for many years. Despite …

Covid-19, the novel coronavirus, has been a source of anxiety for markets and individuals around the world since its outbreak in December 2019. Many traders have been looking for ways to use the information on the spread of the virus to predict market movements. While there are indicators that can …

Despite the growing popularity of passive investing, active hedge fund managers are still adding value to their investors’ portfolios. While passively managed funds can be a great option for some investors, active management can provide added benefits for those who are looking for better risk-adjusted returns and diversification, especially during …

Financial transactions are the essence of a business. These transactions allow companies and other entities to acquire products or services. Once they do so, they can resell them to generate profits. While most transactions are straightforward, they may also require a legal form. For that purpose, sales and purchase agreements …

The unpredictability of the markets is a well-known fact. Despite this, many traders and portfolio managers continue to try to predict market volatility and manage their risks accordingly. Usually, econometric models such as GARCH are used to forecast market volatility. In recent years, machine learning has been shown to be …

Most of the research in equity and index options has been devoted to volatility and the volatility risk premium. Relatively less attention is paid to options volume. To tackle this issue, article examined options volume from the perspective of in-the-money options order imbalance. It showed that the public directional …

We have discussed how the volatility index, VIX, and the yield curve can be used to predict recessions. On a similar topic, a recent paper argued that machine learning models are outperforming logistic regression when it comes to predicting financial crises. It explored the reasons behind this and showed …