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ESG: Scoring and the Impact of SFDR

ESG is an issue that refers to the enterprise’s contribution to the environment, society, and corporate governance characteristics for sustainable … Continue Reading ESG: Scoring and the Impact of SFDR

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

For a long time, the VIX index is recognized as a measureof implied options contracts and is supposed to provide … Continue Reading Quant Investing : Revisit the VIX Index

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

Due to high holding cost, including VIX instrument in a portfolio requires accurate market-timing. We have construct a simple moving … Continue Reading Quant Investing: VIX Indicator Improvement

Having hit its last new high since coronavirus outbreak in 2020, the equity market now is dominated by a few … Continue Reading Quant Investing: Hidden Markov Model on Winner Portfolios

VIX instrument is an effective hedge tool only if you can capture timing. VIX is a mechanically designed index. It … Continue Reading Quant Investing: VIX Indicator and Strategy

Congratulations to Chien Kuo, our Product & Technology Advisor, joining First Round as a mentor. Chien has been an invaluable … Continue Reading Chien Kuo joins First Round as a mentor.

Dr. Peter Lin joins Silicon Valley early-stage VC 500 Startups Mentor Program specializing in FinTech with an ambition to create … Continue Reading Dr. Peter Lin joins 500 Startups as a Mentor

This paper is a practical review of training a Black-Litterman allocation algorithm with LSTM-RNN, the Long Short-Term Memory Recurrent Neural … Continue Reading Research Review: Novel Asset Allocation: LSTM-Based Black-Litterman Model

Momentum strategy provides distinguishable risk-adjust returns and a hedging mechanism for left-tail events. For long, momentum also has a caveat … Continue Reading Research Review: Enhancing Time-Series Momentum Strategies Using Deep Neutral Networks

“The winners will be managers who thrive on creative discovery and position themselves at the intersection of domain, data, and … Continue Reading Research Review: The Golden Age of Quant

Gamma Paradigm studies dynamic stock-bond allocation in our Adaptive Beta strategy. Simple observation on the correlation between the two assets … Continue Reading Research Review: Stocks, Bonds, and Causality

Peter Lin, Ph.D., a Taiwanese academic turned entrepreneur, founded asset management company, Gamma Paradigm Capital, in New York five years … Continue Reading News: Gamma Paradigm Capital Founder Describes Being an Entrepreneur in Wall Street’s Financial District

Factor model can provide some predictive power to digital assets, especially cryptocurrency. The model might also indicate a new asset … Continue Reading Research Review: Toward a Factor Structure in Crypto Asset Returns

With more than a thousand coins in the current crypto market, there might be an analytical approach to guide us … Continue Reading Research Review: Identify Successful ICO