Financial consultant, trader, number cruncher, travelerhttps://bsky.app/profile/harbourfrontquant.substack.comhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mlytmnaur72rIs Gold Still a Good Diversifier? #finance #trading #investing It’s commonly believed that Gold is a good diversifying asset, and for many years, this was true. Gold is often seen as a safe-haven asset, which means that investors turn to it when they ar… https://ift.tt/a04PsUz16 May 2026 21:56 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mlytmnaur72rhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mlvtdpzk5e2lRegime-Aware Trading Strategies with Machine Learning #finance #trading #investing Regime detection is important in portfolio management and remains an active area of research, particularly in the age of machine learning and AI. Reference [1] proposes a… https://ift.tt/Bn9Vxtz15 May 2026 17:13 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mlvtdpzk5e2lhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mlorqxij6w2nGamma Exposure and S&P500 Return Predictability #finance #trading #investing Options trading volume has been increasing rapidly, potentially altering market dynamics. Reference [1] examines whether aggregate gamma exposure (GEX) in the S&P500 index opti… https://ift.tt/ZNPc4H612 May 2026 21:56 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mlorqxij6w2nhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mlj2ufdzo72lDetermining Implied Volatilities of American Options Using the Willow Tree Method #finance #trading #investing An option’s implied volatility is a measure of the option’s expected price fluctuation. It is a forward-looking, market-based estimate of vola… https://ift.tt/evFkhuV10 May 2026 15:23 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mlj2ufdzo72lhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mlds7sw5cq2pWhy Backtests Decay: Regime Dependence and Crowding #finance #trading #investing Backtesting is an essential part of quantitative strategy development, and naturally, strategies are often selected based on strong backtest performance. However, an import… https://ift.tt/7NwIzWC08 May 2026 13:05 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mlds7sw5cq2phttps://bsky.app/profile/harbourfrontquant.substack.com/post/3ml6yypxy6f2yForecasting Earnings and Returns #finance #trading #investing Data science and machine learning have made great progress in the past few years. They are being applied successfully in many areas such as computer vision, natural language processing, and p… https://ift.tt/L6JHrCi06 May 2026 15:23 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3ml6yypxy6f2yhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3ml3uaokq642lOverfitting and Parameter Selection in Trading Strategies #finance #trading #investing The risk of overfitting is serious and can lead to significant losses. It has been discussed in previous issues of this newsletter. In this edition, we revisit the to… https://ift.tt/IUlBYdm05 May 2026 09:20 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3ml3uaokq642lhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mkvecyyndi2nVolatility Risk Premium Dynamics Through the Heston Framework #finance #trading #investing A significant amount of research has been conducted on the volatility risk premium (VRP). Reference [1] contributes to this literature by linking the VRP to the p… https://ift.tt/YEXr5xg02 May 2026 19:19 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mkvecyyndi2nhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mkqm5wu2tf27Multifractal Analysis of Herding and Inefficiency in Precious Metals #finance #trading #investing Gold and silver have been strong recently, with upward trends and increased volatility. Reference [1] studies the price dynamics of leading precious metals… https://ift.tt/9K5HNV330 Apr 2026 21:56 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mkqm5wu2tf27https://bsky.app/profile/harbourfrontquant.substack.com/post/3mknfqbkd5v2bWhere Do Options Returns Come From #finance #trading #investing Short volatility is a popular trading strategy that seeks to profit from selling volatility through Exchange Trade Notes or listed options. It is understood that the profit comes from the v… https://ift.tt/8EflA1V29 Apr 2026 15:23 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mknfqbkd5v2bhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mkfudjbjyi2lOvernight vs Daytime Returns in Sector ETFs #finance #trading #investing There is a noteworthy line of research that decomposes asset or strategy returns into daytime and overnight components. This type of decomposition has been discussed previously in … https://ift.tt/PJuqBM026 Apr 2026 15:23 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mkfudjbjyi2lhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mkddumajxz2vDispersion Trading Using Principal Component Analysis #finance #trading #investing Statistical arbitrage involves the simultaneous purchase and sale of two or more assets in order to take advantage of price discrepancies. For example, a trader might buy… https://ift.tt/I0Qgvrf25 Apr 2026 15:23 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mkddumajxz2vhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mk3ymk3igs2yRegime Classification Framework for Mean-Reverting and Trending Markets #finance #trading #investing Regime classification is important in asset and risk management. Traditional approaches classify regimes based on direction, bullish or bearish, and vol… https://ift.tt/QoTOpKs22 Apr 2026 17:13 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mk3ymk3igs2yhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mjynpsr5y62oVolatility Risk Premium and Clustering: Intraday vs Overnight Dynamics #finance #trading #investing The decomposition of risks and returns into overnight and intraday components is an emerging area of research. In this edition, we examine how these comp… https://ift.tt/GgfOuBL21 Apr 2026 09:20 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mjynpsr5y62ohttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mjub323h4b2rPrice Dynamics of Volatility Indices #finance #trading #investing We have previously discussed the price dynamics of the SP500 volatility index, VIX. A research article [1] investigated the trending/mean-reverting properties of several volatility indice… https://ift.tt/bNtuXZe19 Apr 2026 15:23 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mjub323h4b2rhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mjr4czsktr2rVariational Autoencoders in Volatility and Option Pricing #finance #trading #investing The Black–Scholes–Merton model is a groundbreaking and foundational framework in option pricing; however, it has well-known limitations. Several extensions have been … https://ift.tt/02RuLIh18 Apr 2026 09:20 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mjr4czsktr2rhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mjkfe45esy2cCan Credit Growth and The Yield Curve Predict Financial Crises? #finance #trading #investing 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 [1] argued that machi… https://ift.tt/MHywXZc15 Apr 2026 17:13 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mjkfe45esy2chttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mjcnslyvl622The Impact of Retail Options Trading on the Implied Volatility Surface #finance #trading #investing Retail options trading is rising rapidly, driven by factors such as the growth of retail brokers, the popularity of social media, and more flexible worki… https://ift.tt/UdCPfcE12 Apr 2026 15:23 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mjcnslyvl622https://bsky.app/profile/harbourfrontquant.substack.com/post/3mjadifegwr2gDo Hedge Funds Add Value? #finance #trading #investing 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 in… https://ift.tt/4zMJe3f11 Apr 2026 17:13 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mjadifegwr2ghttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mj34ftvi5y2wEvaluating Machine Learning Models for S&P 500 Return Prediction #finance #trading #investing Machine learning (ML) is increasingly applied in finance. In trading in particular, researchers aim to determine whether ML can generate consistent alpha. Refe… https://ift.tt/8JxYOBh09 Apr 2026 15:23 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mj34ftvi5y2whttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mivh6vsdst2iLarge Language Models in Trading: Models and Market Dynamics #finance #trading #investing I just returned from a two-day conference in New York, FutureAlpha (formerly QuantStrats). This year, the theme focused largely on data, machine learning, and AI. … https://ift.tt/9xwdcB607 Apr 2026 09:20 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mivh6vsdst2ihttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mirhq5mdo22bDetecting Regimes in the Volatility Surface Using Clustering #finance #trading #investing Regime identification is important in portfolio and risk management. There are many ways to classify market regimes, for example, based on market direction, such a… https://ift.tt/BHQZDOo05 Apr 2026 19:19 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mirhq5mdo22bhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mi6symoabf2zEvaluating Option-Based Strategies and Dollar-Cost Averaging #finance #trading #investing In past issues, we discussed popular investment strategies such as covered calls and collars. In this issue, we continue by examining other strategies, focusing on… https://ift.tt/FeUrZ9T29 Mar 2026 09:20 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mi6symoabf2zhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mht33tf4yj2aCan Options Volume Predict Market Returns? #finance #trading #investing 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 … ift.tt/fPh0dNO https://ift.tt/fPh0dNO24 Mar 2026 17:13 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mht33tf4yj2ahttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mhg2vu7a2y26Statistical Arbitrage Using a Jump-Diffusion Model #finance #trading #investing Statistical arbitrage is a classic quantitative trading strategy that attempts to take advantage of statistical differences in the prices of assets. The strategy is based on… https://ift.tt/EAUYywK19 Mar 2026 13:05 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mhg2vu7a2y26https://bsky.app/profile/harbourfrontquant.substack.com/post/3mh3mhq2jeg2nRetail Options Trading and Gambling Behavior #finance #trading #investing Options trading volume has risen sharply in recent years, and a significant portion of this increase is attributed to the growing participation of retail traders. We have discusse… https://ift.tt/rcGiCPm15 Mar 2026 09:20 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mh3mhq2jeg2nhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mgrsazbo3t2wOption Pricing Model in Illiquid Markets #finance #trading #investing Black-Scholes-Merton (BSM) is an option pricing model for valuing European options. It was developed in the 1970s by Fisher Black, Myron Scholes, and Robert Merton, who were awarded t… https://ift.tt/jL4azUS11 Mar 2026 11:37 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mgrsazbo3t2whttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mgntw2btkg2mMachine Learning for Derivative Pricing and Crash Prediction #finance #trading #investing Applications of machine learning in finance continue to evolve rapidly. In previous issues, we discussed both the uses and the challenges of applying machine learn… https://ift.tt/2dH71YM09 Mar 2026 21:56 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mgntw2btkg2mhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mgjz7cd5wd2fEntropy-Based Regime Detection of Tail Risks #finance #trading #investing Identifying market regimes is particularly important in portfolio and risk management. Typically, markets are classified as bullish or bearish, or as being in high- or low-volatil… https://ift.tt/sNWd5i708 Mar 2026 09:20 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mgjz7cd5wd2fhttps://bsky.app/profile/harbourfrontquant.substack.com/post/3mgf3mqjzwb2hOptions Trading Using Econometric Models #finance #trading #investing In the financial world, time series analysis is frequently used to predict stock prices, interest rates, and currency exchange rates. Econometric models are a type of time series anal… https://ift.tt/3AnvhlN06 Mar 2026 10:20 +0000at://did:plc:d76mcedtzv5urxga464ix6yc/app.bsky.feed.post/3mgf3mqjzwb2h