Nam Nguyen
@harbourfrontquant.substack.com
Financial consultant, trader, number cruncher, traveler
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…
Wrap-Up 2025: Popular Topics and Reader Engagement
#finance #trading #investing
As 2025 comes to a close and 2026 approaches, I hope you are using this period to spend time with family, recharge, reflect on the year that is ending, and plan for the year…
#finance #trading #investing
As 2025 comes to a close and 2026 approaches, I hope you are using this period to spend time with family, recharge, reflect on the year that is ending, and plan for the year…
Wrap-Up 2025: Popular Topics and Reader Engagement
What Resonated Most with Readers This Year
ift.tt
December 29, 2025 at 10:56 PM
Wrap-Up 2025: Popular Topics and Reader Engagement
#finance #trading #investing
As 2025 comes to a close and 2026 approaches, I hope you are using this period to spend time with family, recharge, reflect on the year that is ending, and plan for the year…
#finance #trading #investing
As 2025 comes to a close and 2026 approaches, I hope you are using this period to spend time with family, recharge, reflect on the year that is ending, and plan for the year…
Does Momentum Exist in the Football (Soccer) Market?
#finance #trading #investing
Football (or soccer) betting is one of the most popular forms of sports betting. There are many different ways to bet on football, but the most common is simply betting on…
#finance #trading #investing
Football (or soccer) betting is one of the most popular forms of sports betting. There are many different ways to bet on football, but the most common is simply betting on…
Does Momentum Exist in the Football (Soccer) Market?
Football (or soccer) betting is one of the most popular forms of sports betting.
ift.tt
December 27, 2025 at 10:56 PM
Does Momentum Exist in the Football (Soccer) Market?
#finance #trading #investing
Football (or soccer) betting is one of the most popular forms of sports betting. There are many different ways to bet on football, but the most common is simply betting on…
#finance #trading #investing
Football (or soccer) betting is one of the most popular forms of sports betting. There are many different ways to bet on football, but the most common is simply betting on…
Delta Hedging with Implied vs. Historical Volatility, Part 2
#finance #trading #investing
Hedging is an important topic in portfolio and risk management; however, relatively little research has been conducted in this area. Many questions remain open, su…
#finance #trading #investing
Hedging is an important topic in portfolio and risk management; however, relatively little research has been conducted in this area. Many questions remain open, su…
Delta Hedging with Implied vs. Historical Volatility, Part 2
Hedging is an important topic in portfolio and risk management; however, relatively little research has been conducted in this area.
ift.tt
December 27, 2025 at 10:20 AM
Delta Hedging with Implied vs. Historical Volatility, Part 2
#finance #trading #investing
Hedging is an important topic in portfolio and risk management; however, relatively little research has been conducted in this area. Many questions remain open, su…
#finance #trading #investing
Hedging is an important topic in portfolio and risk management; however, relatively little research has been conducted in this area. Many questions remain open, su…
Reposted by Nam Nguyen
Risk, Leverage, and Optimal Betting in Financial Markets from @harbourfrontquant.substack.com #quant
Risk, Leverage, and Optimal Betting in Financial Markets from @harbourfrontquant.substack.com #quant
Most research in portfolio management focuses on alpha generation; however, another critical component of portfolio construction is position sizing. In this post, we examine key considerations in position sizing, including the Kelly criterion and the martingale betting system. Does Kelly Portfolio Outperform the Market? A method for capital allocation and position sizing is to employ the Kelly
blog.harbourfronts.com
December 16, 2025 at 3:31 AM
Risk, Leverage, and Optimal Betting in Financial Markets from @harbourfrontquant.substack.com #quant
Toward Rigorous Validation of Data-Driven Trading Strategies
#finance #trading #investing
With the rapid advancement in computing power, quantitative researchers can now develop trading strategies quickly, employing multiple variables and methodologies.…
#finance #trading #investing
With the rapid advancement in computing power, quantitative researchers can now develop trading strategies quickly, employing multiple variables and methodologies.…
Toward Rigorous Validation of Data-Driven Trading Strategies
With the rapid advancement in computing power, quantitative researchers can now develop trading strategies quickly, employing multiple variables and methodologies.
ift.tt
December 24, 2025 at 10:20 AM
Toward Rigorous Validation of Data-Driven Trading Strategies
#finance #trading #investing
With the rapid advancement in computing power, quantitative researchers can now develop trading strategies quickly, employing multiple variables and methodologies.…
#finance #trading #investing
With the rapid advancement in computing power, quantitative researchers can now develop trading strategies quickly, employing multiple variables and methodologies.…
Trading Butterfly Option Positions: a Long/Short Approach
#finance #trading #investing
A butterfly option position is an advanced trading strategy that requires a combination of calls and/or puts with three different strike prices of the same maturity. …
#finance #trading #investing
A butterfly option position is an advanced trading strategy that requires a combination of calls and/or puts with three different strike prices of the same maturity. …
Trading Butterfly Option Positions: a Long/Short Approach
A butterfly option position is an advanced trading strategy that requires a combination of calls and/or puts with three different strike prices of the same maturity.
ift.tt
December 23, 2025 at 10:20 AM
Trading Butterfly Option Positions: a Long/Short Approach
#finance #trading #investing
A butterfly option position is an advanced trading strategy that requires a combination of calls and/or puts with three different strike prices of the same maturity. …
#finance #trading #investing
A butterfly option position is an advanced trading strategy that requires a combination of calls and/or puts with three different strike prices of the same maturity. …
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 …