Volume is an important factor that has not been sufficiently studied in the literature, although increasing attention is now being devoted to its role. For example, we recently discussed the link between intraday volume and volatility. Continuing this line of inquiry, Reference revisits the age-old quantitative strategy of pairs …

It is well known that the correlation between the S&P 500 and the VIX index is negative. In fact, arbitrage and hedging strategies have been designed around this relationship, for example, hedging vega risks with delta. However, practitioners also recognize that this correlation can break down and even turn positive. …

Cryptocurrencies, like other financial time series, can be analyzed using traditional time series and econometric methods. However, they present additional challenges due to their distinctive characteristics, including extreme volatility, heavy-tailed distributions, and long-range temporal correlations, which warrant specialized examination. Reference analyzes the multifractality characteristics of major cryptocurrencies and investigates …

Machine learning (ML) is increasingly prominent in modern finance and is being adopted across a wide range of applications. However, using ML to extract alpha remains nontrivial. Reference proposes a novel approach to improving the risk-adjusted returns of momentum strategies using machine learning. It employs three ML methods—linear regression, …

The volatility risk premium (VRP) refers to the systematic difference between implied volatility and subsequent realized volatility. Much of the academic literature focuses on developing strategies to harvest the VRP directly. However, Reference departs from this conventional approach by proposing the use of the VRP as a market-timing mechanism. …

Delta hedging is a critical component of option portfolio management. In the research literature, most studies assume strict delta hedging, where portfolio delta is maintained at zero. Reference relaxes this restriction by introducing a partial delta hedging technique that conditions the hedge ratio on the confidence of the underlying’s …

Modeling and forecasting volatility is critically important for portfolio construction and risk management. Numerous volatility models exist, and one established line of research incorporates trading volume, motivated by the idea that volume reflects the rate of information flow into prices and is therefore positively related to volatility. Reference extends …

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 …

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 …

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, …