Nam Nguyen
@harbourfrontquant.substack.com
Financial consultant, trader, number cruncher, traveler
Volume Effects in Pairs Trading Performance
#finance #trading #investing
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 dis…
#finance #trading #investing
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 dis…
Volume Effects in Pairs Trading Performance
Volume is an important factor that has not been sufficiently studied in the literature, although increasing attention is now being devoted to its role.
ift.tt
February 17, 2026 at 8:19 PM
Volume Effects in Pairs Trading Performance
#finance #trading #investing
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 dis…
#finance #trading #investing
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 dis…
How Well Overfitted Trading Systems Perform Out-of-Sample?
#finance #trading #investing
In-sample overfitting is a serious problem when designing trading strategies. This is because a strategy that worked well in the past may not work in the future. In …
#finance #trading #investing
In-sample overfitting is a serious problem when designing trading strategies. This is because a strategy that worked well in the past may not work in the future. In …
How Well Overfitted Trading Systems Perform Out-of-Sample?
In-sample overfitting is a serious problem when designing trading strategies.
ift.tt
February 16, 2026 at 10:20 AM
How Well Overfitted Trading Systems Perform Out-of-Sample?
#finance #trading #investing
In-sample overfitting is a serious problem when designing trading strategies. This is because a strategy that worked well in the past may not work in the future. In …
#finance #trading #investing
In-sample overfitting is a serious problem when designing trading strategies. This is because a strategy that worked well in the past may not work in the future. In …
State-Dependent Correlation Between the S&P 500 and the VIX
#finance #trading #investing
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 re…
#finance #trading #investing
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 re…
State-Dependent Correlation Between the S&P 500 and the VIX
It is well known that the correlation between the S&P 500 and the VIX index is negative.
ift.tt
February 14, 2026 at 10:20 AM
State-Dependent Correlation Between the S&P 500 and the VIX
#finance #trading #investing
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 re…
#finance #trading #investing
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 re…
Multifractality and Its Underlying Drivers in Cryptocurrency Markets
#finance #trading #investing
Cryptocurrencies, like other financial time series, can be analyzed using traditional time series and econometric methods. However, they present additional…
#finance #trading #investing
Cryptocurrencies, like other financial time series, can be analyzed using traditional time series and econometric methods. However, they present additional…
Multifractality and Its Underlying Drivers in Cryptocurrency Markets
Cryptocurrencies, like other financial time series, can be analyzed using traditional time series and econometric methods.
ift.tt
February 12, 2026 at 10:20 AM
Multifractality and Its Underlying Drivers in Cryptocurrency Markets
#finance #trading #investing
Cryptocurrencies, like other financial time series, can be analyzed using traditional time series and econometric methods. However, they present additional…
#finance #trading #investing
Cryptocurrencies, like other financial time series, can be analyzed using traditional time series and econometric methods. However, they present additional…
Herding in Commodities and Cryptocurrencies
#finance #trading #investing
Herding behavior has been extensively studied and is well understood in equity markets, but far less so in other asset classes such as commodities and cryptocurrencies. In this iss…
#finance #trading #investing
Herding behavior has been extensively studied and is well understood in equity markets, but far less so in other asset classes such as commodities and cryptocurrencies. In this iss…
Herding in Commodities and Cryptocurrencies
When Herding Moves Beyond Equities
ift.tt
February 9, 2026 at 10:56 PM
Herding in Commodities and Cryptocurrencies
#finance #trading #investing
Herding behavior has been extensively studied and is well understood in equity markets, but far less so in other asset classes such as commodities and cryptocurrencies. In this iss…
#finance #trading #investing
Herding behavior has been extensively studied and is well understood in equity markets, but far less so in other asset classes such as commodities and cryptocurrencies. In this iss…
Volatility Feedback Loop in the VIX Index and Its Derivatives
#finance #trading #investing
The VIX index is a measure of the stock market’s expectation of volatility over the next 30 days. The VIX futures are a derivative contract that allows traders to…
#finance #trading #investing
The VIX index is a measure of the stock market’s expectation of volatility over the next 30 days. The VIX futures are a derivative contract that allows traders to…
Volatility Feedback Loop in the VIX Index and Its Derivatives
The VIX index is a measure of the stock market’s expectation of volatility over the next 30 days.
ift.tt
February 7, 2026 at 6:13 PM
Volatility Feedback Loop in the VIX Index and Its Derivatives
#finance #trading #investing
The VIX index is a measure of the stock market’s expectation of volatility over the next 30 days. The VIX futures are a derivative contract that allows traders to…
#finance #trading #investing
The VIX index is a measure of the stock market’s expectation of volatility over the next 30 days. The VIX futures are a derivative contract that allows traders to…
Improving Momentum Strategies with Machine Learning
#finance #trading #investing
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 nontr…
#finance #trading #investing
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 nontr…
Improving Momentum Strategies with Machine Learning
Machine learning (ML) is increasingly prominent in modern finance and is being adopted across a wide range of applications.
ift.tt
February 7, 2026 at 10:20 AM
Improving Momentum Strategies with Machine Learning
#finance #trading #investing
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 nontr…
#finance #trading #investing
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 nontr…
Max Pain Theory in Practice
#finance #trading #investing
Max pain theory is a theory that suggests that the stock price movements are influenced by the options’ expiration. The max pain theory posits that the underlying asset of an option will move in s…
#finance #trading #investing
Max pain theory is a theory that suggests that the stock price movements are influenced by the options’ expiration. The max pain theory posits that the underlying asset of an option will move in s…
Max Pain Theory in Practice
Max pain theory is a theory that suggests that the stock price movements are influenced by the options’ expiration.
ift.tt
February 6, 2026 at 10:20 AM
Max Pain Theory in Practice
#finance #trading #investing
Max pain theory is a theory that suggests that the stock price movements are influenced by the options’ expiration. The max pain theory posits that the underlying asset of an option will move in s…
#finance #trading #investing
Max pain theory is a theory that suggests that the stock price movements are influenced by the options’ expiration. The max pain theory posits that the underlying asset of an option will move in s…
Does Herding Behaviour Exist in the Commodity Markets?
#finance #trading #investing
In the financial markets, herding behaviour is often exhibited by investors following the crowd and buying or selling assets based on the actions of others, rather than …
#finance #trading #investing
In the financial markets, herding behaviour is often exhibited by investors following the crowd and buying or selling assets based on the actions of others, rather than …
Does Herding Behaviour Exist in the Commodity Markets?
In the financial markets, herding behaviour is often exhibited by investors following the crowd and buying or selling assets based on the actions of others, rather than making their own independent decisions.
ift.tt
February 2, 2026 at 10:20 AM
Does Herding Behaviour Exist in the Commodity Markets?
#finance #trading #investing
In the financial markets, herding behaviour is often exhibited by investors following the crowd and buying or selling assets based on the actions of others, rather than …
#finance #trading #investing
In the financial markets, herding behaviour is often exhibited by investors following the crowd and buying or selling assets based on the actions of others, rather than …
Portfolio Timing and Allocation with the Variance Risk Premium
#finance #trading #investing
The volatility risk premium (VRP) refers to the systematic difference between implied volatility and subsequent realized volatility. Much of the academic literat…
#finance #trading #investing
The volatility risk premium (VRP) refers to the systematic difference between implied volatility and subsequent realized volatility. Much of the academic literat…
Portfolio Timing and Allocation with the Variance Risk Premium
The volatility risk premium (VRP) refers to the systematic difference between implied volatility and subsequent realized volatility.
ift.tt
February 1, 2026 at 10:20 AM
Portfolio Timing and Allocation with the Variance Risk Premium
#finance #trading #investing
The volatility risk premium (VRP) refers to the systematic difference between implied volatility and subsequent realized volatility. Much of the academic literat…
#finance #trading #investing
The volatility risk premium (VRP) refers to the systematic difference between implied volatility and subsequent realized volatility. Much of the academic literat…
Dynamic Delta Hedging with Confidence-Weighted Signals
#finance #trading #investing
Delta hedging is a critical component of option portfolio management. In the research literature, most studies assume strict delta hedging, where portfolio delta is main…
#finance #trading #investing
Delta hedging is a critical component of option portfolio management. In the research literature, most studies assume strict delta hedging, where portfolio delta is main…
Dynamic Delta Hedging with Confidence-Weighted Signals
Delta hedging is a critical component of option portfolio management.
ift.tt
January 28, 2026 at 10:56 PM
Dynamic Delta Hedging with Confidence-Weighted Signals
#finance #trading #investing
Delta hedging is a critical component of option portfolio management. In the research literature, most studies assume strict delta hedging, where portfolio delta is main…
#finance #trading #investing
Delta hedging is a critical component of option portfolio management. In the research literature, most studies assume strict delta hedging, where portfolio delta is main…
Modern Pairs Trading: What Still Works and Why
#finance #trading #investing
Pairs trading, or statistical arbitrage (stat arb), is a classic, well-established quantitative trading strategy, and it is still in use today. I discussed its profitability in …
#finance #trading #investing
Pairs trading, or statistical arbitrage (stat arb), is a classic, well-established quantitative trading strategy, and it is still in use today. I discussed its profitability in …
Modern Pairs Trading: What Still Works and Why
Is Pairs Trading Still Profitable? A Modern Review
ift.tt
January 27, 2026 at 10:20 AM
Modern Pairs Trading: What Still Works and Why
#finance #trading #investing
Pairs trading, or statistical arbitrage (stat arb), is a classic, well-established quantitative trading strategy, and it is still in use today. I discussed its profitability in …
#finance #trading #investing
Pairs trading, or statistical arbitrage (stat arb), is a classic, well-established quantitative trading strategy, and it is still in use today. I discussed its profitability in …
How to Account for Slippage in Backtesting
#finance #trading #investing
Backtesting is a method used by investors to develop trading systems. It involves testing a trading system on historical data to see how it would have performed in the past. Backtes…
#finance #trading #investing
Backtesting is a method used by investors to develop trading systems. It involves testing a trading system on historical data to see how it would have performed in the past. Backtes…
How to Account for Slippage in Backtesting
Backtesting is a method used by investors to develop trading systems.
ift.tt
January 24, 2026 at 10:56 PM
How to Account for Slippage in Backtesting
#finance #trading #investing
Backtesting is a method used by investors to develop trading systems. It involves testing a trading system on historical data to see how it would have performed in the past. Backtes…
#finance #trading #investing
Backtesting is a method used by investors to develop trading systems. It involves testing a trading system on historical data to see how it would have performed in the past. Backtes…
Modeling High-Frequency Volatility with Volume-Driven Intraday Effects
#finance #trading #investing
Modeling and forecasting volatility is critically important for portfolio construction and risk management. Numerous volatility models exist, and one est…
#finance #trading #investing
Modeling and forecasting volatility is critically important for portfolio construction and risk management. Numerous volatility models exist, and one est…
Modeling High-Frequency Volatility with Volume-Driven Intraday Effects
Modeling and forecasting volatility is critically important for portfolio construction and risk management.
ift.tt
January 24, 2026 at 10:20 AM
Modeling High-Frequency Volatility with Volume-Driven Intraday Effects
#finance #trading #investing
Modeling and forecasting volatility is critically important for portfolio construction and risk management. Numerous volatility models exist, and one est…
#finance #trading #investing
Modeling and forecasting volatility is critically important for portfolio construction and risk management. Numerous volatility models exist, and one est…
Do Path-Independent Volatilities Exist?
#finance #trading #investing
Volatility of an asset is a measure of how much the price of that asset varies over time. In other words, it is a measure of how “risky” an investment in that asset is. The higher the …
#finance #trading #investing
Volatility of an asset is a measure of how much the price of that asset varies over time. In other words, it is a measure of how “risky” an investment in that asset is. The higher the …
Do Path-Independent Volatilities Exist?
Volatility of an asset is a measure of how much the price of that asset varies over time.
ift.tt
January 22, 2026 at 10:20 AM
Do Path-Independent Volatilities Exist?
#finance #trading #investing
Volatility of an asset is a measure of how much the price of that asset varies over time. In other words, it is a measure of how “risky” an investment in that asset is. The higher the …
#finance #trading #investing
Volatility of an asset is a measure of how much the price of that asset varies over time. In other words, it is a measure of how “risky” an investment in that asset is. The higher the …
Delta Hedging Under Fractional Brownian Motion
#finance #trading #investing
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 realis…
#finance #trading #investing
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 realis…
Delta Hedging Under Fractional Brownian Motion
The Black–Scholes–Merton (BSM) model is the most frequently used option pricing framework in finance.
ift.tt
January 21, 2026 at 10:20 AM
Delta Hedging Under Fractional Brownian Motion
#finance #trading #investing
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 realis…
#finance #trading #investing
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 realis…
When More Information Hurts: Social Media and Investor Underperformance
#finance #trading #investing
In today’s digital era, social media is ubiquitous, and market participants are exposed to an unprecedented volume of financial information. While inves…
#finance #trading #investing
In today’s digital era, social media is ubiquitous, and market participants are exposed to an unprecedented volume of financial information. While inves…
When More Information Hurts: Social Media and Investor Underperformance
In today’s digital era, social media is ubiquitous, and market participants are exposed to an unprecedented volume of financial information.
ift.tt
January 17, 2026 at 10:20 AM
When More Information Hurts: Social Media and Investor Underperformance
#finance #trading #investing
In today’s digital era, social media is ubiquitous, and market participants are exposed to an unprecedented volume of financial information. While inves…
#finance #trading #investing
In today’s digital era, social media is ubiquitous, and market participants are exposed to an unprecedented volume of financial information. While inves…
Multifractality and Market Efficiency Across Asset Classes
#finance #trading #investing
The Fractal Market Hypothesis (FMH) is increasingly studied and applied by both finance academics and practitioners. We previously discussed the use of Detrended Flu…
#finance #trading #investing
The Fractal Market Hypothesis (FMH) is increasingly studied and applied by both finance academics and practitioners. We previously discussed the use of Detrended Flu…
Multifractality and Market Efficiency Across Asset Classes
The Fractal Market Hypothesis (FMH) is increasingly studied and applied by both finance academics and practitioners.
ift.tt
January 15, 2026 at 10:20 AM
Multifractality and Market Efficiency Across Asset Classes
#finance #trading #investing
The Fractal Market Hypothesis (FMH) is increasingly studied and applied by both finance academics and practitioners. We previously discussed the use of Detrended Flu…
#finance #trading #investing
The Fractal Market Hypothesis (FMH) is increasingly studied and applied by both finance academics and practitioners. We previously discussed the use of Detrended Flu…
Implied vs. Realized Volatility in Delta Hedging Strategies
#finance #trading #investing
Delta hedging is a fundamental topic in portfolio and risk management. In this edition, we discuss which volatility measure should be used in the delta hedging proc…
#finance #trading #investing
Delta hedging is a fundamental topic in portfolio and risk management. In this edition, we discuss which volatility measure should be used in the delta hedging proc…
Implied vs. Realized Volatility in Delta Hedging Strategies
Which Volatility Matters for Delta Hedging? Evidence from Index Options
ift.tt
January 13, 2026 at 10:20 AM
Implied vs. Realized Volatility in Delta Hedging Strategies
#finance #trading #investing
Delta hedging is a fundamental topic in portfolio and risk management. In this edition, we discuss which volatility measure should be used in the delta hedging proc…
#finance #trading #investing
Delta hedging is a fundamental topic in portfolio and risk management. In this edition, we discuss which volatility measure should be used in the delta hedging proc…
Incorporating Momentum into Option Pricing Models
#finance #trading #investing
The Black–Scholes–Merton (BSM) model is a cornerstone of derivative pricing; however, it is not without limitations, and researchers continue to extend it. Reference [1] prop…
#finance #trading #investing
The Black–Scholes–Merton (BSM) model is a cornerstone of derivative pricing; however, it is not without limitations, and researchers continue to extend it. Reference [1] prop…
Incorporating Momentum into Option Pricing Models
The Black–Scholes–Merton (BSM) model is a cornerstone of derivative pricing; however, it is not without limitations, and researchers continue to extend it.
ift.tt
January 11, 2026 at 10:20 AM
Incorporating Momentum into Option Pricing Models
#finance #trading #investing
The Black–Scholes–Merton (BSM) model is a cornerstone of derivative pricing; however, it is not without limitations, and researchers continue to extend it. Reference [1] prop…
#finance #trading #investing
The Black–Scholes–Merton (BSM) model is a cornerstone of derivative pricing; however, it is not without limitations, and researchers continue to extend it. Reference [1] prop…
Using the Holt-Winters Model for Trading Bitcoin and Gold
#finance #trading #investing
Investing in gold and bitcoin can be a great way to diversify your portfolio and protect your wealth. Gold is a physical asset that has been used as a currency for ce…
#finance #trading #investing
Investing in gold and bitcoin can be a great way to diversify your portfolio and protect your wealth. Gold is a physical asset that has been used as a currency for ce…
Using the Holt-Winters Model for Trading Bitcoin and Gold
Investing in gold and bitcoin can be a great way to diversify your portfolio and protect your wealth.
ift.tt
January 9, 2026 at 6:13 PM
Using the Holt-Winters Model for Trading Bitcoin and Gold
#finance #trading #investing
Investing in gold and bitcoin can be a great way to diversify your portfolio and protect your wealth. Gold is a physical asset that has been used as a currency for ce…
#finance #trading #investing
Investing in gold and bitcoin can be a great way to diversify your portfolio and protect your wealth. Gold is a physical asset that has been used as a currency for ce…
A New Method for Forward Testing?
#finance #trading #investing
A trading system is a set of rules for deciding when and how to buy or sell assets. These systems can be used to trade stocks, bonds, commodities, or other assets. Trading systems can be man…
#finance #trading #investing
A trading system is a set of rules for deciding when and how to buy or sell assets. These systems can be used to trade stocks, bonds, commodities, or other assets. Trading systems can be man…
A New Method for Forward Testing?
A trading system is a set of rules for deciding when and how to buy or sell assets.
ift.tt
January 8, 2026 at 6:13 PM
A New Method for Forward Testing?
#finance #trading #investing
A trading system is a set of rules for deciding when and how to buy or sell assets. These systems can be used to trade stocks, bonds, commodities, or other assets. Trading systems can be man…
#finance #trading #investing
A trading system is a set of rules for deciding when and how to buy or sell assets. These systems can be used to trade stocks, bonds, commodities, or other assets. Trading systems can be man…
Quantifying Recency Bias in Investor Volatility Expectations
#finance #trading #investing
Investors and traders often suffer from behavioral biases, which is where behavioral finance originates. Among these biases, recency bias is probably the most detr…
#finance #trading #investing
Investors and traders often suffer from behavioral biases, which is where behavioral finance originates. Among these biases, recency bias is probably the most detr…
Quantifying Recency Bias in Investor Volatility Expectations
Investors and traders often suffer from behavioral biases, which is where behavioral finance originates.
ift.tt
January 5, 2026 at 6:13 PM
Quantifying Recency Bias in Investor Volatility Expectations
#finance #trading #investing
Investors and traders often suffer from behavioral biases, which is where behavioral finance originates. Among these biases, recency bias is probably the most detr…
#finance #trading #investing
Investors and traders often suffer from behavioral biases, which is where behavioral finance originates. Among these biases, recency bias is probably the most detr…
How Accurate Is Intraday Implied Volatility in Forecasting Realized Volatility
#finance #trading #investing
Implied volatility is a theoretical value that measures the expected volatility of a financial instrument over a specific period of time. It is d…
#finance #trading #investing
Implied volatility is a theoretical value that measures the expected volatility of a financial instrument over a specific period of time. It is d…
How Accurate Is Intraday Implied Volatility in Forecasting Realized Volatility
Implied volatility is a theoretical value that measures the expected volatility of a financial instrument over a specific period of time.
ift.tt
January 3, 2026 at 10:56 PM
How Accurate Is Intraday Implied Volatility in Forecasting Realized Volatility
#finance #trading #investing
Implied volatility is a theoretical value that measures the expected volatility of a financial instrument over a specific period of time. It is d…
#finance #trading #investing
Implied volatility is a theoretical value that measures the expected volatility of a financial instrument over a specific period of time. It is d…
Forecasting Market Crashes with Machine Learning Techniques
#finance #trading #investing
Predicting market direction is challenging, and forecasting market crashes is even more difficult, yet this remains a growing area of research. We previously discus…
#finance #trading #investing
Predicting market direction is challenging, and forecasting market crashes is even more difficult, yet this remains a growing area of research. We previously discus…
Forecasting Market Crashes with Machine Learning Techniques
Predicting market direction is challenging, and forecasting market crashes is even more difficult, yet this remains a growing area of research.
ift.tt
January 2, 2026 at 10:56 PM
Forecasting Market Crashes with Machine Learning Techniques
#finance #trading #investing
Predicting market direction is challenging, and forecasting market crashes is even more difficult, yet this remains a growing area of research. We previously discus…
#finance #trading #investing
Predicting market direction is challenging, and forecasting market crashes is even more difficult, yet this remains a growing area of research. We previously discus…