Nam Nguyen
@harbourfrontquant.substack.com
Financial consultant, trader, number cruncher, traveler
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…
Volatility vs. Volatility of Volatility: Conceptual and Practical Differences
#finance #trading #investing
Volatility and volatility of volatility are highly correlated and share many similar characteristics. However, there are subtle but important diff…
#finance #trading #investing
Volatility and volatility of volatility are highly correlated and share many similar characteristics. However, there are subtle but important diff…
Volatility vs. Volatility of Volatility: Conceptual and Practical Differences
Volatility of Volatility Explained: How It Differs from Traditional Volatility
ift.tt
November 3, 2025 at 10:56 PM
Volatility vs. Volatility of Volatility: Conceptual and Practical Differences
#finance #trading #investing
Volatility and volatility of volatility are highly correlated and share many similar characteristics. However, there are subtle but important diff…
#finance #trading #investing
Volatility and volatility of volatility are highly correlated and share many similar characteristics. However, there are subtle but important diff…
A VIX Futures Trading System
#finance #trading #investing
VIX futures are a type of derivative that allow investors to bet on the future direction of the CBOE Volatility Index (VIX). The VIX is a measure of market uncertainty and is often referred to a…
#finance #trading #investing
VIX futures are a type of derivative that allow investors to bet on the future direction of the CBOE Volatility Index (VIX). The VIX is a measure of market uncertainty and is often referred to a…
A VIX Futures Trading System
VIX futures are a type of derivative that allow investors to bet on the future direction of the CBOE Volatility Index (VIX).
ift.tt
November 3, 2025 at 4:23 PM
A VIX Futures Trading System
#finance #trading #investing
VIX futures are a type of derivative that allow investors to bet on the future direction of the CBOE Volatility Index (VIX). The VIX is a measure of market uncertainty and is often referred to a…
#finance #trading #investing
VIX futures are a type of derivative that allow investors to bet on the future direction of the CBOE Volatility Index (VIX). The VIX is a measure of market uncertainty and is often referred to a…
Expiration Effects and Return Anomalies in Option Markets
#finance #trading #investing
A growing body of research has recently investigated anomalies in option returns, such as option return momentum, and these anomalies are often attributed to market i…
#finance #trading #investing
A growing body of research has recently investigated anomalies in option returns, such as option return momentum, and these anomalies are often attributed to market i…
Expiration Effects and Return Anomalies in Option Markets
A growing body of research has recently investigated anomalies in option returns, such as option return momentum, and these anomalies are often attributed to market inefficiencies.
ift.tt
November 1, 2025 at 9:56 PM
Expiration Effects and Return Anomalies in Option Markets
#finance #trading #investing
A growing body of research has recently investigated anomalies in option returns, such as option return momentum, and these anomalies are often attributed to market i…
#finance #trading #investing
A growing body of research has recently investigated anomalies in option returns, such as option return momentum, and these anomalies are often attributed to market i…
Is the Momentum Anomaly Still Present in the Financial Markets?
#finance #trading #investing
In the financial markets, the momentum anomaly is a phenomenon in which financial assets that have had recent positive returns tend to continue performing well,…
#finance #trading #investing
In the financial markets, the momentum anomaly is a phenomenon in which financial assets that have had recent positive returns tend to continue performing well,…
Is the Momentum Anomaly Still Present in the Financial Markets?
In the financial markets, the momentum anomaly is a phenomenon in which financial assets that have had recent positive returns tend to continue performing well, while those with recent negative returns...
ift.tt
November 1, 2025 at 9:20 AM
Is the Momentum Anomaly Still Present in the Financial Markets?
#finance #trading #investing
In the financial markets, the momentum anomaly is a phenomenon in which financial assets that have had recent positive returns tend to continue performing well,…
#finance #trading #investing
In the financial markets, the momentum anomaly is a phenomenon in which financial assets that have had recent positive returns tend to continue performing well,…
Feedback Effect in the Foreign Exchange Market
#finance #trading #investing
The Black–Scholes-Merton model is the most frequently used option pricing model in the financial industry. However, it made use of assumptions that are not always realistic. A c…
#finance #trading #investing
The Black–Scholes-Merton model is the most frequently used option pricing model in the financial industry. However, it made use of assumptions that are not always realistic. A c…
Feedback Effect in the Foreign Exchange Market
The Black–Scholes-Merton model is the most frequently used option pricing model in the financial industry.
ift.tt
October 31, 2025 at 3:23 PM
Feedback Effect in the Foreign Exchange Market
#finance #trading #investing
The Black–Scholes-Merton model is the most frequently used option pricing model in the financial industry. However, it made use of assumptions that are not always realistic. A c…
#finance #trading #investing
The Black–Scholes-Merton model is the most frequently used option pricing model in the financial industry. However, it made use of assumptions that are not always realistic. A c…
Predicting Volatility Risk Premium Through Sector Implied Correlation
#finance #trading #investing
The volatility risk premium is a common phenomenon that exists in the volatility space. It is often defined as a stock’s or index’s implied volatility (IV…
#finance #trading #investing
The volatility risk premium is a common phenomenon that exists in the volatility space. It is often defined as a stock’s or index’s implied volatility (IV…
Predicting Volatility Risk Premium Through Sector Implied Correlation
The volatility risk premium is a common phenomenon that exists in the volatility space.
ift.tt
October 30, 2025 at 7:19 PM
Predicting Volatility Risk Premium Through Sector Implied Correlation
#finance #trading #investing
The volatility risk premium is a common phenomenon that exists in the volatility space. It is often defined as a stock’s or index’s implied volatility (IV…
#finance #trading #investing
The volatility risk premium is a common phenomenon that exists in the volatility space. It is often defined as a stock’s or index’s implied volatility (IV…
Dynamic Correlations Between Bitcoin and the NASDAQ-100 Index
#finance #trading #investing
As cryptocurrencies, particularly Bitcoin (BTC), become more mainstream, investors have noticed an increasing correlation between BTC and the stock market. Some i…
#finance #trading #investing
As cryptocurrencies, particularly Bitcoin (BTC), become more mainstream, investors have noticed an increasing correlation between BTC and the stock market. Some i…
Dynamic Correlations Between Bitcoin and the NASDAQ-100 Index
As cryptocurrencies, particularly Bitcoin (BTC), become more mainstream, investors have noticed an increasing correlation between BTC and the stock market.
ift.tt
October 28, 2025 at 5:13 PM
Dynamic Correlations Between Bitcoin and the NASDAQ-100 Index
#finance #trading #investing
As cryptocurrencies, particularly Bitcoin (BTC), become more mainstream, investors have noticed an increasing correlation between BTC and the stock market. Some i…
#finance #trading #investing
As cryptocurrencies, particularly Bitcoin (BTC), become more mainstream, investors have noticed an increasing correlation between BTC and the stock market. Some i…
Modeling Gold for Prediction and Portfolio Hedging
#finance #trading #investing
Gold prices have risen sharply in recent months, prompting renewed debate over whether the market has reached its peak. In this edition, we examine quantitative models used …
#finance #trading #investing
Gold prices have risen sharply in recent months, prompting renewed debate over whether the market has reached its peak. In this edition, we examine quantitative models used …
Modeling Gold for Prediction and Portfolio Hedging
How to Apply Quantitative Models for Gold Price Forecasting and Hedging
ift.tt
October 27, 2025 at 9:56 PM
Modeling Gold for Prediction and Portfolio Hedging
#finance #trading #investing
Gold prices have risen sharply in recent months, prompting renewed debate over whether the market has reached its peak. In this edition, we examine quantitative models used …
#finance #trading #investing
Gold prices have risen sharply in recent months, prompting renewed debate over whether the market has reached its peak. In this edition, we examine quantitative models used …
Does Trend Following Work on Single-Name Stocks?
#finance #trading #investing
Trend following is a popular trading strategy used by Commodity Trading Advisors (CTA) and Hedge Funds around the world. The traded assets are often futures on commodities, FX…
#finance #trading #investing
Trend following is a popular trading strategy used by Commodity Trading Advisors (CTA) and Hedge Funds around the world. The traded assets are often futures on commodities, FX…
Does Trend Following Work on Single-Name Stocks?
Trend following is a popular trading strategy used by Commodity Trading Advisors (CTA) and Hedge Funds around the world.
ift.tt
October 27, 2025 at 3:23 PM
Does Trend Following Work on Single-Name Stocks?
#finance #trading #investing
Trend following is a popular trading strategy used by Commodity Trading Advisors (CTA) and Hedge Funds around the world. The traded assets are often futures on commodities, FX…
#finance #trading #investing
Trend following is a popular trading strategy used by Commodity Trading Advisors (CTA) and Hedge Funds around the world. The traded assets are often futures on commodities, FX…
Market Timing Through Volatility Clustering and Causal Structure Identification
#finance #trading #investing
Volatility plays a crucial role in trading and risk management. These days, more portfolio managers are aware of and utilize volatility measures…
#finance #trading #investing
Volatility plays a crucial role in trading and risk management. These days, more portfolio managers are aware of and utilize volatility measures…
Market Timing Through Volatility Clustering and Causal Structure Identification
Volatility plays a crucial role in trading and risk management.
ift.tt
October 26, 2025 at 9:20 AM
Market Timing Through Volatility Clustering and Causal Structure Identification
#finance #trading #investing
Volatility plays a crucial role in trading and risk management. These days, more portfolio managers are aware of and utilize volatility measures…
#finance #trading #investing
Volatility plays a crucial role in trading and risk management. These days, more portfolio managers are aware of and utilize volatility measures…
Using Push-Response, Variance-Ratio, and P+/P- Tests to Characterize the Markets
#finance #trading #investing
We typically divide the markets into 2 regimes: trending or mean-reverting. In a recent paper [1], the authors not only divided the markets int…
#finance #trading #investing
We typically divide the markets into 2 regimes: trending or mean-reverting. In a recent paper [1], the authors not only divided the markets int…
Using Push-Response, Variance-Ratio, and P+/P- Tests to Characterize the Markets
We typically divide the markets into 2 regimes: trending or mean-reverting.
ift.tt
October 25, 2025 at 9:20 AM
Using Push-Response, Variance-Ratio, and P+/P- Tests to Characterize the Markets
#finance #trading #investing
We typically divide the markets into 2 regimes: trending or mean-reverting. In a recent paper [1], the authors not only divided the markets int…
#finance #trading #investing
We typically divide the markets into 2 regimes: trending or mean-reverting. In a recent paper [1], the authors not only divided the markets int…