Nam Nguyen
@harbourfrontquant.substack.com
Financial consultant, trader, number cruncher, traveler
Is It Worth Reading Financial News?
#finance #trading #investing
A recession is a significant decline in economic activity spread across the economy, lasting more than a few months. It is visible in industrial production, employment, real income, and ot…
#finance #trading #investing
A recession is a significant decline in economic activity spread across the economy, lasting more than a few months. It is visible in industrial production, employment, real income, and ot…
Is It Worth Reading Financial News?
A recession is a significant decline in economic activity spread across the economy, lasting more than a few months.
ift.tt
December 19, 2025 at 10:56 PM
Is It Worth Reading Financial News?
#finance #trading #investing
A recession is a significant decline in economic activity spread across the economy, lasting more than a few months. It is visible in industrial production, employment, real income, and ot…
#finance #trading #investing
A recession is a significant decline in economic activity spread across the economy, lasting more than a few months. It is visible in industrial production, employment, real income, and ot…
Intraday Elasticity Between VIX Futures and Volatility ETPs
#finance #trading #investing
VIX futures and ETPs are widely used instruments for both volatility speculation and hedging, making a clear understanding of their behavior essential for these pur…
#finance #trading #investing
VIX futures and ETPs are widely used instruments for both volatility speculation and hedging, making a clear understanding of their behavior essential for these pur…
Intraday Elasticity Between VIX Futures and Volatility ETPs
VIX futures and ETPs are widely used instruments for both volatility speculation and hedging, making a clear understanding of their behavior essential for these purposes.
ift.tt
December 18, 2025 at 10:56 PM
Intraday Elasticity Between VIX Futures and Volatility ETPs
#finance #trading #investing
VIX futures and ETPs are widely used instruments for both volatility speculation and hedging, making a clear understanding of their behavior essential for these pur…
#finance #trading #investing
VIX futures and ETPs are widely used instruments for both volatility speculation and hedging, making a clear understanding of their behavior essential for these pur…
Risk, Leverage, and Optimal Betting in Financial Markets
#finance #trading #investing
Most research in portfolio management focuses on alpha generation; however, another critical component of portfolio construction is position sizing. In this edition, w…
#finance #trading #investing
Most research in portfolio management focuses on alpha generation; however, another critical component of portfolio construction is position sizing. In this edition, w…
Risk, Leverage, and Optimal Betting in Financial Markets
Money Management and the Kelly Criterion
ift.tt
December 15, 2025 at 10:56 PM
Risk, Leverage, and Optimal Betting in Financial Markets
#finance #trading #investing
Most research in portfolio management focuses on alpha generation; however, another critical component of portfolio construction is position sizing. In this edition, w…
#finance #trading #investing
Most research in portfolio management focuses on alpha generation; however, another critical component of portfolio construction is position sizing. In this edition, w…
Short-Term Stock Price Forecasting Using Geometric Brownian Motion
#finance #trading #investing
In these days of big data, machine learning, and AI, many researchers are showing growing interest in sophisticated models for stock price prediction or to r…
#finance #trading #investing
In these days of big data, machine learning, and AI, many researchers are showing growing interest in sophisticated models for stock price prediction or to r…
Short-Term Stock Price Forecasting Using Geometric Brownian Motion
In these days of big data, machine learning, and AI, many researchers are showing growing interest in sophisticated models for stock price prediction or to refine basic models of stock dynamics.
ift.tt
December 14, 2025 at 10:20 AM
Short-Term Stock Price Forecasting Using Geometric Brownian Motion
#finance #trading #investing
In these days of big data, machine learning, and AI, many researchers are showing growing interest in sophisticated models for stock price prediction or to r…
#finance #trading #investing
In these days of big data, machine learning, and AI, many researchers are showing growing interest in sophisticated models for stock price prediction or to r…
Pricing Commodity Derivatives Using Principal Component Analysis
#finance #trading #investing
Commodity derivatives are financial instruments whose value is based on an underlying commodity. These derivatives can be used for hedging purposes or for spec…
#finance #trading #investing
Commodity derivatives are financial instruments whose value is based on an underlying commodity. These derivatives can be used for hedging purposes or for spec…
Pricing Commodity Derivatives Using Principal Component Analysis
Commodity derivatives are financial instruments whose value is based on an underlying commodity.
ift.tt
December 12, 2025 at 4:23 PM
Pricing Commodity Derivatives Using Principal Component Analysis
#finance #trading #investing
Commodity derivatives are financial instruments whose value is based on an underlying commodity. These derivatives can be used for hedging purposes or for spec…
#finance #trading #investing
Commodity derivatives are financial instruments whose value is based on an underlying commodity. These derivatives can be used for hedging purposes or for spec…
Option Pricing with Quantum Mechanical Methods
#finance #trading #investing
It is well known that put options are often overpriced, especially in equities. The literature is filled with papers explaining this phenomenon. However, most research still rel…
#finance #trading #investing
It is well known that put options are often overpriced, especially in equities. The literature is filled with papers explaining this phenomenon. However, most research still rel…
Option Pricing with Quantum Mechanical Methods
It is well known that put options are often overpriced, especially in equities.
ift.tt
December 9, 2025 at 10:56 PM
Option Pricing with Quantum Mechanical Methods
#finance #trading #investing
It is well known that put options are often overpriced, especially in equities. The literature is filled with papers explaining this phenomenon. However, most research still rel…
#finance #trading #investing
It is well known that put options are often overpriced, especially in equities. The literature is filled with papers explaining this phenomenon. However, most research still rel…
Identifying Correlation Risks of Large Portfolios
#finance #trading #investing
Correlation is a statistical measure of the relationship between two variables. In trading, correlation is used to identify relationships between different securities. For ex…
#finance #trading #investing
Correlation is a statistical measure of the relationship between two variables. In trading, correlation is used to identify relationships between different securities. For ex…
Identifying Correlation Risks of Large Portfolios
Correlation is a statistical measure of the relationship between two variables.
ift.tt
December 8, 2025 at 6:13 PM
Identifying Correlation Risks of Large Portfolios
#finance #trading #investing
Correlation is a statistical measure of the relationship between two variables. In trading, correlation is used to identify relationships between different securities. For ex…
#finance #trading #investing
Correlation is a statistical measure of the relationship between two variables. In trading, correlation is used to identify relationships between different securities. For ex…
Enhancing the Wheel Strategy with Bayesian Networks
#finance #trading #investing
The option wheel strategy is a systematic approach that combines selling cash-secured puts and covered calls. The process begins by selling puts on a stock the investor is …
#finance #trading #investing
The option wheel strategy is a systematic approach that combines selling cash-secured puts and covered calls. The process begins by selling puts on a stock the investor is …
Enhancing the Wheel Strategy with Bayesian Networks
The option wheel strategy is a systematic approach that combines selling cash-secured puts and covered calls.
ift.tt
December 6, 2025 at 8:19 PM
Enhancing the Wheel Strategy with Bayesian Networks
#finance #trading #investing
The option wheel strategy is a systematic approach that combines selling cash-secured puts and covered calls. The process begins by selling puts on a stock the investor is …
#finance #trading #investing
The option wheel strategy is a systematic approach that combines selling cash-secured puts and covered calls. The process begins by selling puts on a stock the investor is …
Numerical Methods for Implied Volatility Surface Construction in Crypto Markets
#finance #trading #investing
The implied volatility surface is a fundamental building block in modern financial markets, as it underpins the pricing of both vanilla and exot…
#finance #trading #investing
The implied volatility surface is a fundamental building block in modern financial markets, as it underpins the pricing of both vanilla and exot…
Numerical Methods for Implied Volatility Surface Construction in Crypto Markets
The implied volatility surface is a fundamental building block in modern financial markets, as it underpins the pricing of both vanilla and exotic instruments and supports key risk-management functions...
ift.tt
December 4, 2025 at 10:20 AM
Numerical Methods for Implied Volatility Surface Construction in Crypto Markets
#finance #trading #investing
The implied volatility surface is a fundamental building block in modern financial markets, as it underpins the pricing of both vanilla and exot…
#finance #trading #investing
The implied volatility surface is a fundamental building block in modern financial markets, as it underpins the pricing of both vanilla and exot…
The Effectiveness of Collar Structures in Equity and Commodity Markets
#finance #trading #investing
There are several popular options strategies frequently discussed in the trading and investing literature, as well as on social media. In a previous news…
#finance #trading #investing
There are several popular options strategies frequently discussed in the trading and investing literature, as well as on social media. In a previous news…
The Effectiveness of Collar Structures in Equity and Commodity Markets
Evidence from Index Hedging and Corporate Fuel Risk Management
ift.tt
December 2, 2025 at 10:20 AM
The Effectiveness of Collar Structures in Equity and Commodity Markets
#finance #trading #investing
There are several popular options strategies frequently discussed in the trading and investing literature, as well as on social media. In a previous news…
#finance #trading #investing
There are several popular options strategies frequently discussed in the trading and investing literature, as well as on social media. In a previous news…
ChatGPT as a Personal Financial Advisor: Capabilities and Limitations
#finance #trading #investing
Artificial intelligence (AI) is advancing rapidly, and traders and investors are finding ways to leverage this progress to gain an additional edge. Refere…
#finance #trading #investing
Artificial intelligence (AI) is advancing rapidly, and traders and investors are finding ways to leverage this progress to gain an additional edge. Refere…
ChatGPT as a Personal Financial Advisor: Capabilities and Limitations
Artificial intelligence (AI) is advancing rapidly, and traders and investors are finding ways to leverage this progress to gain an additional edge.
ift.tt
November 29, 2025 at 8:19 PM
ChatGPT as a Personal Financial Advisor: Capabilities and Limitations
#finance #trading #investing
Artificial intelligence (AI) is advancing rapidly, and traders and investors are finding ways to leverage this progress to gain an additional edge. Refere…
#finance #trading #investing
Artificial intelligence (AI) is advancing rapidly, and traders and investors are finding ways to leverage this progress to gain an additional edge. Refere…
How High-Frequency Trading Impacts the Markets
#finance #trading #investing
High-frequency trading (HFT) is a type of algorithmic trading that uses computer programs to place orders at very fast speeds. High-frequency traders use sophisticated algorithm…
#finance #trading #investing
High-frequency trading (HFT) is a type of algorithmic trading that uses computer programs to place orders at very fast speeds. High-frequency traders use sophisticated algorithm…
How High-Frequency Trading Impacts the Markets
High-frequency trading (HFT) is a type of algorithmic trading that uses computer programs to place orders at very fast speeds.
ift.tt
November 27, 2025 at 8:19 PM
How High-Frequency Trading Impacts the Markets
#finance #trading #investing
High-frequency trading (HFT) is a type of algorithmic trading that uses computer programs to place orders at very fast speeds. High-frequency traders use sophisticated algorithm…
#finance #trading #investing
High-frequency trading (HFT) is a type of algorithmic trading that uses computer programs to place orders at very fast speeds. High-frequency traders use sophisticated algorithm…
Option-Implied Information as a Predictor of Stock Returns
#finance #trading #investing
Options are powerful tools. They serve not only as an effective instrument for risk management and speculation, but they also provide valuable information about the …
#finance #trading #investing
Options are powerful tools. They serve not only as an effective instrument for risk management and speculation, but they also provide valuable information about the …
Option-Implied Information as a Predictor of Stock Returns
Options are powerful tools.
ift.tt
November 27, 2025 at 10:20 AM
Option-Implied Information as a Predictor of Stock Returns
#finance #trading #investing
Options are powerful tools. They serve not only as an effective instrument for risk management and speculation, but they also provide valuable information about the …
#finance #trading #investing
Options are powerful tools. They serve not only as an effective instrument for risk management and speculation, but they also provide valuable information about the …
Reposted by Nam Nguyen
Volatility vs. Volatility of Volatility: Conceptual and Practical Differences from @harbourfrontquant.substack.com #quant
Volatility vs. Volatility of Volatility: Conceptual and Practical Differences from @harbourfrontquant.substack.com #quant
Volatility and volatility of volatility are highly correlated and share many similar characteristics. However, there are subtle but important differences between them. In this post, we will examine some of these differences and explore an application of volatility of volatility in portfolio management. Improving Portfolio Management with Volatility of Volatility Managing portfolios using
blog.harbourfronts.com
November 5, 2025 at 5:41 AM
Volatility vs. Volatility of Volatility: Conceptual and Practical Differences from @harbourfrontquant.substack.com #quant
Reposted by Nam Nguyen
Fractal Market Hypothesis: From Theory to Practice from @harbourfrontquant.substack.com #quant
Fractal Market Hypothesis: From Theory to Practice from @harbourfrontquant.substack.com #quant
Fractal Market Hypothesis is an alternative framework that models financial markets through long-memory and multi-scale dynamics. There is a growing trend in the industry to incorporate itfirst in analyzing the behavior of underlying assets, and more recently in the pricing of financial derivatives such as futures. In this post, we will examine these developments. Fractal Market Hypothesis:
blog.harbourfronts.com
November 18, 2025 at 2:23 AM
Fractal Market Hypothesis: From Theory to Practice from @harbourfrontquant.substack.com #quant
Calendar Anomalies in Digital Assets: A Study of Major Cryptocurrencies
#finance #trading #investing
In the financial market, seasonality refers to systematic return patterns that recur at specific calendar intervals. It has been studied extensively in …
#finance #trading #investing
In the financial market, seasonality refers to systematic return patterns that recur at specific calendar intervals. It has been studied extensively in …
Calendar Anomalies in Digital Assets: A Study of Major Cryptocurrencies
In the financial market, seasonality refers to systematic return patterns that recur at specific calendar intervals.
ift.tt
November 25, 2025 at 10:20 AM
Calendar Anomalies in Digital Assets: A Study of Major Cryptocurrencies
#finance #trading #investing
In the financial market, seasonality refers to systematic return patterns that recur at specific calendar intervals. It has been studied extensively in …
#finance #trading #investing
In the financial market, seasonality refers to systematic return patterns that recur at specific calendar intervals. It has been studied extensively in …
A Trading Strategy Based on the Correlation Between the VIX and S&P500 Indices
#finance #trading #investing
The VIX is an index that measures the volatility of the S&P 500. It is often referred to as the “fear index” because it spikes when investors are…
#finance #trading #investing
The VIX is an index that measures the volatility of the S&P 500. It is often referred to as the “fear index” because it spikes when investors are…
A Trading Strategy Based on the Correlation Between the VIX and S&P500 Indices
The VIX is an index that measures the volatility of the S&P 500.
ift.tt
November 22, 2025 at 10:20 AM
A Trading Strategy Based on the Correlation Between the VIX and S&P500 Indices
#finance #trading #investing
The VIX is an index that measures the volatility of the S&P 500. It is often referred to as the “fear index” because it spikes when investors are…
#finance #trading #investing
The VIX is an index that measures the volatility of the S&P 500. It is often referred to as the “fear index” because it spikes when investors are…
A Recent Review of Pairs Trading and Statistical Arbitrage
#finance #trading #investing
Pairs trading, or statistical arbitrage, is one of the oldest quantitative trading strategies, and it is still employed today. Over the years, it has expanded from c…
#finance #trading #investing
Pairs trading, or statistical arbitrage, is one of the oldest quantitative trading strategies, and it is still employed today. Over the years, it has expanded from c…
A Recent Review of Pairs Trading and Statistical Arbitrage
Pairs trading, or statistical arbitrage, is one of the oldest quantitative trading strategies, and it is still employed today.
ift.tt
November 20, 2025 at 10:56 PM
A Recent Review of Pairs Trading and Statistical Arbitrage
#finance #trading #investing
Pairs trading, or statistical arbitrage, is one of the oldest quantitative trading strategies, and it is still employed today. Over the years, it has expanded from c…
#finance #trading #investing
Pairs trading, or statistical arbitrage, is one of the oldest quantitative trading strategies, and it is still employed today. Over the years, it has expanded from c…
Fractal Market Hypothesis:From Theory to Practice
#finance #trading #investing
Fractal Market Hypothesis is an alternative framework that models financial markets through long-memory and multi-scale dynamics. There is a growing trend in the industry to …
#finance #trading #investing
Fractal Market Hypothesis is an alternative framework that models financial markets through long-memory and multi-scale dynamics. There is a growing trend in the industry to …
Fractal Market Hypothesis:From Theory to Practice
From Statistical Foundations to Implementable Strategies
ift.tt
November 18, 2025 at 10:20 AM
Fractal Market Hypothesis:From Theory to Practice
#finance #trading #investing
Fractal Market Hypothesis is an alternative framework that models financial markets through long-memory and multi-scale dynamics. There is a growing trend in the industry to …
#finance #trading #investing
Fractal Market Hypothesis is an alternative framework that models financial markets through long-memory and multi-scale dynamics. There is a growing trend in the industry to …
Can Exchange Traded Funds Increase Market Volatility?
#finance #trading #investing
An Exchange Traded Fund (ETF) is a fund that tracks an index, sector, or basket of assets just like a traditional mutual fund, but trades like a stock on an exchange. ETF…
#finance #trading #investing
An Exchange Traded Fund (ETF) is a fund that tracks an index, sector, or basket of assets just like a traditional mutual fund, but trades like a stock on an exchange. ETF…
Can Exchange Traded Funds Increase Market Volatility?
An Exchange Traded Fund (ETF) is a fund that tracks an index, sector, or basket of assets just like a traditional mutual fund, but trades like a stock on an exchange.
ift.tt
November 15, 2025 at 8:19 PM
Can Exchange Traded Funds Increase Market Volatility?
#finance #trading #investing
An Exchange Traded Fund (ETF) is a fund that tracks an index, sector, or basket of assets just like a traditional mutual fund, but trades like a stock on an exchange. ETF…
#finance #trading #investing
An Exchange Traded Fund (ETF) is a fund that tracks an index, sector, or basket of assets just like a traditional mutual fund, but trades like a stock on an exchange. ETF…
Fair Volatility: A Multifractional Model for Realized Volatility
#finance #trading #investing
Volatility is an important measure of market uncertainty and risk. For decades, realized volatility has been computed from the squared returns. Recent research…
#finance #trading #investing
Volatility is an important measure of market uncertainty and risk. For decades, realized volatility has been computed from the squared returns. Recent research…
Fair Volatility: A Multifractional Model for Realized Volatility
Volatility is an important measure of market uncertainty and risk.
ift.tt
November 15, 2025 at 10:20 AM
Fair Volatility: A Multifractional Model for Realized Volatility
#finance #trading #investing
Volatility is an important measure of market uncertainty and risk. For decades, realized volatility has been computed from the squared returns. Recent research…
#finance #trading #investing
Volatility is an important measure of market uncertainty and risk. For decades, realized volatility has been computed from the squared returns. Recent research…
Trading Volatility ETFs Using the VIX Term Structure
#finance #trading #investing
The volatility term structure is the relationship between implied volatility and time to expiration. The term structure is important because it provides information about …
#finance #trading #investing
The volatility term structure is the relationship between implied volatility and time to expiration. The term structure is important because it provides information about …
Trading Volatility ETFs Using the VIX Term Structure
The volatility term structure is the relationship between implied volatility and time to expiration.
ift.tt
November 11, 2025 at 6:13 PM
Trading Volatility ETFs Using the VIX Term Structure
#finance #trading #investing
The volatility term structure is the relationship between implied volatility and time to expiration. The term structure is important because it provides information about …
#finance #trading #investing
The volatility term structure is the relationship between implied volatility and time to expiration. The term structure is important because it provides information about …
Volatility, Skewness, and Kurtosis in Bitcoin Returns: An Empirical Analysis
#finance #trading #investing
As cryptocurrencies become mainstream, researchers have begun examining their statistical properties, particularly volatility, which represents the…
#finance #trading #investing
As cryptocurrencies become mainstream, researchers have begun examining their statistical properties, particularly volatility, which represents the…
Volatility, Skewness, and Kurtosis in Bitcoin Returns: An Empirical Analysis
As cryptocurrencies become mainstream, researchers have begun examining their statistical properties, particularly volatility, which represents the second moment of the return distribution.
ift.tt
November 10, 2025 at 6:13 PM
Volatility, Skewness, and Kurtosis in Bitcoin Returns: An Empirical Analysis
#finance #trading #investing
As cryptocurrencies become mainstream, researchers have begun examining their statistical properties, particularly volatility, which represents the…
#finance #trading #investing
As cryptocurrencies become mainstream, researchers have begun examining their statistical properties, particularly volatility, which represents the…
Can We Replace Volatility in the Options Pricing Models?
#finance #trading #investing
The Black-Sholes-Merton model is a mathematical model for pricing financial options. The model is used to calculate the theoretical value of an option, which is the am…
#finance #trading #investing
The Black-Sholes-Merton model is a mathematical model for pricing financial options. The model is used to calculate the theoretical value of an option, which is the am…
Can We Replace Volatility in the Options Pricing Models?
The Black-Sholes-Merton model is a mathematical model for pricing financial options.
ift.tt
November 7, 2025 at 6:13 PM
Can We Replace Volatility in the Options Pricing Models?
#finance #trading #investing
The Black-Sholes-Merton model is a mathematical model for pricing financial options. The model is used to calculate the theoretical value of an option, which is the am…
#finance #trading #investing
The Black-Sholes-Merton model is a mathematical model for pricing financial options. The model is used to calculate the theoretical value of an option, which is the am…
Probabilistic AI in Finance: A Comprehensive Literature Review
#finance #trading #investing
Probabilistic AI is a branch of artificial intelligence that models uncertainty explicitly, allowing systems to reason and make predictions even when data is inc…
#finance #trading #investing
Probabilistic AI is a branch of artificial intelligence that models uncertainty explicitly, allowing systems to reason and make predictions even when data is inc…
Probabilistic AI in Finance: A Comprehensive Literature Review
Probabilistic AI is a branch of artificial intelligence that models uncertainty explicitly, allowing systems to reason and make predictions even when data is incomplete or noisy.
ift.tt
November 5, 2025 at 6:13 PM
Probabilistic AI in Finance: A Comprehensive Literature Review
#finance #trading #investing
Probabilistic AI is a branch of artificial intelligence that models uncertainty explicitly, allowing systems to reason and make predictions even when data is inc…
#finance #trading #investing
Probabilistic AI is a branch of artificial intelligence that models uncertainty explicitly, allowing systems to reason and make predictions even when data is inc…