Harbourfront TechnologiesTrend-Following Trading System, Quantitative Trading in PythonIn a previous post, we demonstrated the mean-reverting and trending properties of SP500. We subsequently developed a trading system based…2 min read·May 5, 2021--2--2

Harbourfront TechnologiesMean-Reverting Trading System-Quantitative Trading in PythonIn a previous post, we demonstrated the mean-reverting and trending properties of SP500. In this follow-up post, we will develop a simple…2 min read·Apr 27, 2021--1--1

Harbourfront TechnologiesAutocorrelation Properties of SP500-Quantitative Trading in PythonA technical or quantitative trading system on a linear (i.e. delta 1) instrument is basically a bet on the autocorrelation of the…2 min read·Mar 31, 2021--1--1

Harbourfront TechnologiesHow to Determine Implied Dividend Yield-Derivative Valuation in ExcelDividend yield is an input into the option valuation model that often receives little attention from the practitioners. This is probably…4 min read·Mar 6, 2021----

Harbourfront TechnologiesExponentially Weighted Historical Volatility in Excel-Volatility Analysis in ExcelHistorical volatility (HV) is a useful measure to gauge market uncertainty. Recall that,3 min read·Feb 22, 2021----

Harbourfront TechnologiesModern Portfolio Theory-Effect of Diversification on the Optimal Portfolio-Portfolio Management in…In the previous installments, we presented the concept of Modern Portfolio Theory. We also provided an optimization algorithm, written in…3 min read·Feb 1, 2021----

Harbourfront TechnologiesModern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in PythonIn the previous installment, we presented a description of the Model Portfolio Theory and provided a concrete example in Python. We also…2 min read·Jan 25, 2021----

Harbourfront TechnologiesThe Willow Tree Method, an Advanced Option Pricing ModelThe Binomial tree is a standard method for pricing American style options. Recall that,2 min read·Jan 21, 2021----

Harbourfront TechnologiesIs Quant’s Life Hard or Easy?Last month, efinancialcarreeers published a post, stating that quant’s life is getting harder these days.2 min read·Dec 20, 2020----

Harbourfront TechnologiesConvertible Bond Arbitrage Using the Volatility SurfaceConvertible bonds are complex, hybrid securities.2 min read·Dec 14, 2020----