During the COVID-19 pandemic, the real economy and capital market suffer a significant impact. To limit economic damage from the … Continue Reading Quant Investing: Inflation-Protected Bond Rotation Strategy
Echo to this research, Treasuries are a good equity hedge but required active investment discipline. Traditional static allocation through long-duration … Continue Reading Research Review: Are Long-Duration Treasuries the Best Hedge for Equities?
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