DERIVATIVES

Variational Autoencoders for Arbitrage-Free Volatility Modeling

Posted on March 24, 2025 By Harbourfront Technologies

Subscribe to newsletter Machine learning and AI are transforming investing by enabling data-driven decision-making, uncovering hidden patterns, and automating complex strategies. From algorithmic trading and portfolio optimization to risk management and sentiment analysis, AI-driven models process vast amounts of data with speed and precision, identifying …

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RISK MANAGEMENT

Improving Portfolio Management with Volatility of Volatility

Posted on March 20, 2025 By Harbourfront Technologies

Subscribe to newsletter Managing portfolios using volatility as a filter has proven effective. Reference builds on this research by proposing the use of volatility of volatility for portfolio management. The rationale behind using volatility of volatility is that it represents uncertainty. Unlike risk, which …

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TRADING

Are Weekend Gaps Always Filled? A Look at Stock Indices

Posted on March 8, 2025 By Harbourfront Technologies

Subscribe to newsletter The weekend price gap is a well-known phenomenon in financial markets, particularly in assets that trade continuously during the week but pause over the weekend, such as stocks, futures, and options. When markets reopen after the weekend, prices sometimes experience a gap …

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Latest Post

Incorporating Liquidity into Option Pricing: a Stochastic Approach

Posted on March 16, 2025 By Harbourfront Technologies

Subscribe to newsletter Liquidity is an overlooked research area, yet it plays a crucial role in financial markets. Trading system developers often use the bid-ask spread as a proxy for liquidity, but this approach is less effective in the options …

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