Robust Beta and Its Effectiveness in Single-index Model Introduction In this work, we try to perform a comprehensive analysis on … Continue Reading Quant Investing: Robust Beta and Its Effectiveness in Single-index Model
The “Option Force Crystal Ball” is our quantitative solution for open interest analysis. It utilizes the Max-pain Theory, a young … Continue Reading Quant Investing: Max-Pain Theory and the Option Force Crystal Ball
Convertible bonds are corporate bonds that can convert into stocks. In the past fifteen years, the annualized rate of return … Continue Reading Quant Investing: What Happens to Convertible Bonds in 2021?
This report introduced two measures of realized volatility, RV30d and RV5min, and dives into their own characteristic. Description Past Current … Continue Reading Quant Investing: Rule-Based Strategy using Realized Volatility
This report tries to shed light on volatility by examining the result of a research paper: “Reading VIX: Does VIX … Continue Reading Quant Investing: the Decomposition of VIX