Harbourfront Quantitative Finance

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The Rise of 0DTE Options: Cause for Concern or Business as Usual?
0DTE Options Are Gaining Popularity—Do They Impact Market Stability?
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Nam Nguyen Ph.D.
Bitcoin Trend Following Strategies vs. Traditional Indices: A Comparative Study
Trend following is an investment strategy that seeks to capture gains by identifying and trading in the direction of established market trends.
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Nam Nguyen Ph.D.
Enhancing Market Timing Strategies Through the Use of Macroeconomic Indicators
Market timing refers to the practice of attempting to predict future market movements in order to buy or sell securities at the most advantageous times.
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Nam Nguyen Ph.D.
Momentum in the Option Market, Part 2
Momentum is a widely observed phenomenon in the stock market that refers to the tendency of stocks that have exhibited strong price performance in the…
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Nam Nguyen Ph.D.
Trading VIX Futures Using Machine Learning Techniques
VIX futures are financial contracts that allow investors to trade on the expected future volatility of the S&P 500 Index, as measured by the VIX…
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Nam Nguyen Ph.D.
2
Reducing Path Dependency in Options PnL
The profit and loss of an options trading strategy can be path-dependent, meaning that interim price movements, not just the final outcome…
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Nam Nguyen Ph.D.
Modeling Short-term Implied Volatilities in the Heston Stochastic Volatility Model
Stochastic volatility models, unlike constant volatility models, which assume a fixed level of volatility, allow volatility to change.
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Nam Nguyen Ph.D.
Newsletter: How Machine Learning Enhances Market Volatility Forecasting Accuracy
Explore how modern machine learning models can significantly improve accuracy in forecasting market volatility trends.
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Nam Nguyen Ph.D.
Effectiveness of Regulatory Interest Rate Risk Measures
The recent collapse of Silicon Valley Bank highlights the significance of effectively managing interest rate risk in financial institutions.
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Nam Nguyen Ph.D.
Can AI Replace Human Programmers?
Since the introduction of ChatGPT, numerous quantitative traders and portfolio managers have been intrigued by the potential of utilizing it to develop…
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Nam Nguyen Ph.D.
Harvesting the Equity Risk Premia Through Options
The equity risk premium refers to the excess return that investing in the stock market provides over a risk-free rate, typically represented by…
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Nam Nguyen Ph.D.
Short-Selling Leveraged Exchange-Traded Funds
Leveraged exchange-traded funds (ETFs) are investment vehicles that aim to provide amplified returns for a given index or benchmark.
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Nam Nguyen Ph.D.
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