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 …

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 …

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 …

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 …

As cryptocurrencies become mainstream, researchers have begun examining their statistical properties, particularly volatility, which represents the second moment of the return distribution. However, limited attention has been given to higher-order moments, specifically skewness and kurtosis. Given that cryptocurrencies are highly volatile and exhibit heavy-tail risks, their return distributions are not …

Probabilistic AI is a branch of artificial intelligence that models uncertainty explicitly, allowing systems to reason and make predictions even when data is incomplete or noisy. Instead of producing single-point estimates, it generates probability distributions over possible outcomes, capturing both what is known and how confident the model is. Reference …

A growing body of research has recently investigated anomalies in option returns, such as option return momentum, and these anomalies are often attributed to market inefficiencies. Reference , however, proposed and tested a different hypothesis: these anomalies originate from option returns around expiration days. Specifically, the author isolated the return …

As cryptocurrencies, particularly Bitcoin (BTC), become more mainstream, investors have noticed an increasing correlation between BTC and the stock market. Some investors even argue that BTC now functions as a substitute risk asset for the technology sector. Reference presents a quantitative study on the correlation between BTC and the …

Volatility plays a crucial role in trading and risk management. These days, more portfolio managers are aware of and utilize volatility measures, even if they do not trade options. For example, we have previously discussed volatility-managed portfolios, where asset volatilities are used to size positions. Reference contributes to this …

Investing in equities offers strong growth potential, but a key drawback is exposure to periodic drawdowns, which many investors find psychologically difficult to endure. To address this, some have proposed tail risk hedging strategies. However, portfolio managers are often reluctant to adopt them due to high carry costs, and researchers …