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Harbourfront Technologies

Harbourfront Technologies

Trend-Following Trading System, Quantitative Trading in Python

In a previous post, we demonstrated the mean-reverting and trending properties of SP500. We subsequently developed a trading system based…

May 5, 2021

Trend-Following Trading System, Quantitative Trading in Python

May 5, 2021

Harbourfront Technologies

Mean-Reverting Trading System-Quantitative Trading in Python

In a previous post, we demonstrated the mean-reverting and trending properties of SP500. In this follow-up post, we will develop a simple…

Apr 27, 2021

Mean-Reverting Trading System-Quantitative Trading in Python

Apr 27, 2021

Harbourfront Technologies

Autocorrelation Properties of SP500-Quantitative Trading in Python

A technical or quantitative trading system on a linear (i.e. delta 1) instrument is basically a bet on the autocorrelation of the…

Mar 31, 2021

Autocorrelation Properties of SP500-Quantitative Trading in Python

Mar 31, 2021

Harbourfront Technologies

How to Determine Implied Dividend Yield-Derivative Valuation in Excel

Dividend yield is an input into the option valuation model that often receives little attention from the practitioners. This is probably…

Mar 6, 2021

Mar 6, 2021

Harbourfront Technologies

Exponentially Weighted Historical Volatility in Excel-Volatility Analysis in Excel

Historical volatility (HV) is a useful measure to gauge market uncertainty. Recall that,

Feb 22, 2021

Exponentially Weighted Historical Volatility in Excel-Volatility Analysis in Excel

Feb 22, 2021

Harbourfront Technologies

Modern 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…

Feb 1, 2021

Modern Portfolio Theory-Effect of Diversification on the Optimal Portfolio-Portfolio Management in…

Feb 1, 2021

Harbourfront Technologies

Modern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in Python

In the previous installment, we presented a description of the Model Portfolio Theory and provided a concrete example in Python. We also…

Jan 25, 2021

Modern Portfolio Theory-Searching For the Optimal Portfolio-Portfolio Management in Python

Jan 25, 2021

Harbourfront Technologies

The Willow Tree Method, an Advanced Option Pricing Model

The Binomial tree is a standard method for pricing American style options. Recall that,

Jan 21, 2021

Jan 21, 2021

Harbourfront Technologies

Is Quant’s Life Hard or Easy?

Last month, efinancialcarreeers published a post, stating that quant’s life is getting harder these days.

Dec 20, 2020

Is Quant’s Life Hard or Easy?

Dec 20, 2020

Harbourfront Technologies

Convertible Bond Arbitrage Using the Volatility Surface

Convertible bonds are complex, hybrid securities.

Dec 14, 2020

Dec 14, 2020

Harbourfront Technologies

Harbourfront Technologies

We are a boutique financial service firm specializing in quantitative analysis and risk management. Visit us at http://tech.harbourfronts.com

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