Author | Lightnews

Nam Nguyen

Nam Nguyen

@harbourfrontquant.substack.com

160 followers 44 following 870 posts

Financial consultant, trader, number cruncher, traveler

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Nam Nguyen @harbourfrontquant.substack.com · 13h

Overlaying Options Spreads on a Technical Trading Strategy
#finance #trading #investing

Options are complex financial instruments that often attract sophisticated traders and investors. In investment banks and hedge funds, they’re often the instrument o…

Overlaying Options Spreads on a Technical Trading Strategy

Options are complex financial instruments that often attract sophisticated traders and investors.

Nam Nguyen @harbourfrontquant.substack.com · 2d

Tail Risk Hedging and Trend Following: A Combined Framework
#finance #trading #investing

Investing in equities offers strong growth potential, but a key drawback is exposure to periodic drawdowns, which many investors find psychologically difficult to e…

Tail Risk Hedging and Trend Following: A Combined Framework

Investing in equities offers strong growth potential, but a key drawback is exposure to periodic drawdowns, which many investors find psychologically difficult to endure.

Nam Nguyen @harbourfrontquant.substack.com · 2d

Valuation of European Options with Stochastic Interest Rates and Transaction Costs
#finance #trading #investing

Black-Scholes-Merton (BSM) is a celebrated option pricing model that is used frequently in the financial industry [1]. The model was develope…

Valuation of European Options with Stochastic Interest Rates and Transaction Costs

Black-Scholes-Merton (BSM) is a celebrated option pricing model that is used frequently in the financial industry [1].

Nam Nguyen @harbourfrontquant.substack.com · 4d

Effectiveness of Covered Call Strategy in Developed and Emerging Markets
#finance #trading #investing

Covered call strategies are often promoted as an income-generation tool for investors seeking steady returns with reduced risk. But how effective are t… ift.tt/xfYGSvQ

Effectiveness of Covered Call Strategy in Developed and Emerging Markets

Risk–Return Trade-Offs in Covered Call Strategies

Nam Nguyen @harbourfrontquant.substack.com · 5d

The Role of Investor Attention Index in Explaining Bitcoin Volatility
#finance #trading #investing

Modeling and forecasting volatility is essential in trading and risk management. Extensive research has been conducted on volatility modeling in tradition…

The Role of Investor Attention Index in Explaining Bitcoin Volatility

Modeling and forecasting volatility is essential in trading and risk management.

Nam Nguyen @harbourfrontquant.substack.com · 6d

Fractional Geometric Brownian Motion and Its Application to Futures Arbitrage
#finance #trading #investing

Geometric Brownian Motion (GBM) is the fundamental stochastic process used to model asset prices in continuous time. It serves as the foundation f…

Fractional Geometric Brownian Motion and Its Application to Futures Arbitrage

Geometric Brownian Motion (GBM) is the fundamental stochastic process used to model asset prices in continuous time.

Nam Nguyen @harbourfrontquant.substack.com · 7d

Cointegration or Correlation, Which Method is Better for Pair Trading?
#finance #trading #investing

Pair trading or statistical arbitrage is a popular quantitative trading strategy. Basically, we choose a pair of assets for trading, and when the assets’…

Cointegration or Correlation, Which Method is Better for Pair Trading?

Pair trading or statistical arbitrage is a popular quantitative trading strategy.

Nam Nguyen @harbourfrontquant.substack.com · 8d

How Retail Trading Affects Stock Market Volatility and Trading Strategies
#finance #trading #investing

Retail traders are often called noise, or uninformed traders as they contribute in large part to the noise in the stock market. The pandemic just acce…

How Retail Trading Affects Stock Market Volatility and Trading Strategies

Retail traders are often called noise, or uninformed traders as they contribute in large part to the noise in the stock market.

Nam Nguyen @harbourfrontquant.substack.com · 9d

Hedging Market Risks Using Volatility Estimators-Are Sophisticated Methods Better?
#finance #trading #investing

Previously, we elaborated on why hedging is an important tool for risk management. A recent paper [1] evaluated the hedging effectiveness of …

Hedging Market Risks Using Volatility Estimators-Are Sophisticated Methods Better?

Previously, we elaborated on why hedging is an important tool for risk management.

Nam Nguyen @harbourfrontquant.substack.com · 11d

Identifying and Characterizing Market Regimes Across Asset Classes
#finance #trading #investing

Identifying market regimes is essential for understanding how risk, return, and volatility evolve across financial assets. In this edition, we examine two qu…

Identifying and Characterizing Market Regimes Across Asset Classes

A Regime-Switching Framework for Foreign Exchange Hedging and Equity Market Analysis

Nam Nguyen @harbourfrontquant.substack.com · 11d

Pricing Options In The Real-World Measure
#finance #trading #investing

Option pricing is usually carried out in the risk-neutral world where the market participants are assumed to be indifferent between taking a certain payoff or investing in an asset w…

Pricing Options In The Real-World Measure

Option pricing is usually carried out in the risk-neutral world where the market participants are assumed to be indifferent between taking a certain payoff or investing in an asset with that same expected...

Nam Nguyen @harbourfrontquant.substack.com · 12d

Do Covered Calls Deliver Superior Returns?
#finance #trading #investing

The covered call strategy is a popular and conservative options trading approach. It involves an investor holding a long position in an underlying asset, typically a stock, and then…

Do Covered Calls Deliver Superior Returns?

The covered call strategy is a popular and conservative options trading approach.

Nam Nguyen @harbourfrontquant.substack.com · 13d

Impact of Artificial Intelligence on Financial Markets: a Quantitative and Qualitative Analysis
#finance #trading #investing

Artificial intelligence (AI) has become an integral part of modern finance, transforming how institutions analyze data, manage r…

Impact of Artificial Intelligence on Financial Markets: a Quantitative and Qualitative Analysis

Artificial intelligence (AI) has become an integral part of modern finance, transforming how institutions analyze data, manage risk, and execute trades.

Nam Nguyen @harbourfrontquant.substack.com · 14d

Using a Parametric Implied Volatility Surface for Calculating Value At Risk
#finance #trading #investing

Value at Risk (VaR) is a widely used risk metric in finance, providing an estimate of the potential loss on a portfolio or investment over a specifi…

Using a Parametric Implied Volatility Surface for Calculating Value At Risk

Value at Risk (VaR) is a widely used risk metric in finance, providing an estimate of the potential loss on a portfolio or investment over a specific time horizon, under normal market conditions.

Nam Nguyen @harbourfrontquant.substack.com · 15d

How Negative Oil Futures Price Impacts Production
#finance #trading #investing

A market shock, exemplified by the 1987 crash, denotes a sudden and severe disturbance in financial markets, leading to significant disruptions and abrupt changes in asset pr…

How Negative Oil Futures Price Impacts Production

A market shock, exemplified by the 1987 crash, denotes a sudden and severe disturbance in financial markets, leading to significant disruptions and abrupt changes in asset prices.

Nam Nguyen @harbourfrontquant.substack.com · 16d

Can Trading Volume Predict Realized Volatility
#finance #trading #investing

Realized volatility (RV) is a measure that captures the degree of price fluctuation in a financial instrument over a specific period. This metric is valuable for investors and t…

Can Trading Volume Predict Realized Volatility

Realized volatility (RV) is a measure that captures the degree of price fluctuation in a financial instrument over a specific period.

Nam Nguyen @harbourfrontquant.substack.com · 18d

The Role of Data in Financial Modeling and Risk Management
#finance #trading #investing

Much emphasis has been placed on developing accurate and robust financial models, whether for pricing, trading, or risk management. However, a crucial yet often over…

The Role of Data in Financial Modeling and Risk Management

How Data Quality and Quantity Affect Model Accuracy and Stability

Nam Nguyen @harbourfrontquant.substack.com · 18d

Momentum in the Option Market, Part 3
#finance #trading #investing

In previous posts, we discussed the momentum phenomena in the options market. In essence, evidence suggests that delta-hedged straddle option positions exhibit momentum. This means that …

Momentum in the Option Market, Part 3

In previous posts, we discussed the momentum phenomena in the options market.

Nam Nguyen @harbourfrontquant.substack.com · 20d

Return and Variance Risk Premia in the Bitcoin Market
#finance #trading #investing

The volatility risk premium (VRP) has been studied extensively in the literature, especially in equities. However, little work has been done in the crypto space. Referenc…

Return and Variance Risk Premia in the Bitcoin Market

The volatility risk premium (VRP) has been studied extensively in the literature, especially in equities.

Nam Nguyen @harbourfrontquant.substack.com · 20d

CC is not my cup of tea. Call calendar is a much better alternative

Nam Nguyen @harbourfrontquant.substack.com · 21d

Using Hurst Exponent on the Volatility of Volatility Indices
#finance #trading #investing

A market regime refers to a distinct phase or state in financial markets characterized by certain prevailing conditions and dynamics. It describes the overall beha…

Using Hurst Exponent on the Volatility of Volatility Indices

A market regime refers to a distinct phase or state in financial markets characterized by certain prevailing conditions and dynamics.

Nam Nguyen @harbourfrontquant.substack.com · 21d

Predicting Covariance Matrices of Returns
#finance #trading #investing

Covariance plays an important role in portfolio construction as it measures the relationship between the returns of different assets in a portfolio. Understanding covariance helps in…

Predicting Covariance Matrices of Returns

Covariance plays an important role in portfolio construction as it measures the relationship between the returns of different assets in a portfolio.

Nam Nguyen @harbourfrontquant.substack.com · 21d

Trading Equity Indices Using Time Series Models
#finance #trading #investing

Time series models like ARIMA, or Autoregressive Integrated Moving Average, and VAR, or Vector Autoregression, are essential tools for forecasting sequential data points over t…

Trading Equity Indices Using Time Series Models

Time series models like ARIMA, or Autoregressive Integrated Moving Average, and VAR, or Vector Autoregression, are essential tools for forecasting sequential data points over time, making them invaluable...

Nam Nguyen @harbourfrontquant.substack.com · 24d

Incorporating Reflexivity into the Black–Scholes-Merton Framework
#finance #trading #investing

The Black-Scholes model (BSM) is a mathematical framework used to value options. Developed by Fischer Black, Myron Scholes, and Robert Merton in the early 197…

Incorporating Reflexivity into the Black–Scholes-Merton Framework

The Black-Scholes model (BSM) is a mathematical framework used to value options.

Nam Nguyen @harbourfrontquant.substack.com · 25d

Volatility Risk Premium Across Different Asset Classes
#finance #trading #investing

The volatility risk premium has been studied extensively in the equity space, but less so in other asset classes. In this issue, we are going to examine the VRP across d…

Volatility Risk Premium Across Different Asset Classes

Evidence from a Multi-Market Empirical Study