May 18, 2025
0-DTE Options In April 2025: A Real-Time Market Stress Test
Vladimir Ofitserov
The true test of any financial innovation is how it performs in a storm. For 0-DTE options, that storm arrived in April 2025, when a sudden wave of tariff escalations and geopolitical shocks triggered a full-blown market panic. As volatility surged and the S&P 500 fell sharply, 0-DTE options found themselves at the center of the action—not just as a trading vehicle, but as a force potentially influencing market dynamics in real time. This episode offered a rare window into the behavior of zero-day options under extreme stress. It revealed both their power and their limitations—how they can…
Read
Jun 4, 2024
Forecasting Financial Asset Returns with Large Language Models, GPT-TS Case Study
Ruslan Melnikov
Forecasting financial time series data can indeed be challenging due to various factors such as volatility, non-linearity, seasonality, and external market influences. These complexities make it crucial to utilize sophisticated techniques and models to generate accurate predictions. Common approaches to forecasting financial time series include using statistical models, such as ARIMA and its variations, to analyze linear dependencies and trends, or employing machine learning algorithms like RNN or LSTM to uncover complex patterns in the data. Alternative neural network architectures for time…
Read
Aug 22, 2023
LSTM Networks for estimating growth rates in DCF Models
Ruslan Melnikov
This article delves into Discounted Cash Flow models and explores the use of LSTM networks for more accurate growth rate estimation. It also proposes a simple ranking strategy that combines the DCF valuation approach with LSTM Network-based growth rate predictions.
Read
Jul 20, 2023
The Race of Asset Allocation Strategies
Vladimir Ofitserov
Asset allocation represents one of the largest groups of investment strategies. We have selected nine of the most well-known strategies from this group and evaluated their performance over the recent 10-year period, from July 2013 to July 2023.
Read
Jun 4, 2023
Active Sector Rotation Strategy
Ruslan Melnikov
Active rotation is a dynamic investment strategy that requires regular portfolio adjustments to capitalize on evolving market conditions. Compared to other investment strategies, active rotation might be more time-consuming and complex, but it also presents greater potential for higher returns. By continually tweaking portfolio holdings, investors can exploit market inefficiencies and mispricings, potentially yielding higher returns than a traditional buy-and-hold strategy. In this article, we delve into the merits of active rotation, particularly focusing on sector rotation.
Read
May 15, 2023
Optimal Tail-Risk Hedging
Denis Bogutskiy
It is well known that the appropriate selection of assets and their respective weights in a portfolio can significantly influence investment outcomes. In this article, we will evaluate a variety of conventional instruments that may help protect portfolios against market downturns and enhance the risk-return profile, based on historical data. We will use metrics such as individual Compound Annual Growth Rates (CAGRs) and Sharpe ratios measured in different market regimes: RISK-ON and RISK-OFF. The ultimate goal is to identify a strategy that provides a favorable trade-off between performance…
Read
May 2, 2023
Optimal Asset Class for Each Fed Policy Regime
Vladimir Ofitserov
The Federal Reserve is nearing a regime shift, as it's expected to pause after the current rate-hiking cycle, with declining interest rates likely to follow. Navigating this changing Fed dynamic is essential for investors. In our research, we analyzed the behavior of Stocks, Treasuries, and Gold across different Fed Policy Regimes since 1982. Our findings illustrate that adjusting portfolio allocations and employing asset rotation strategies based on the prevailing monetary environment could potentially enhance the overall risk-return profile of an investment portfolio.
Read
Apr 23, 2023
The Stock Market Behavior During Recessions
Vladimir Ofitserov
Our team has examined market behavior during recessions since 1926. The research suggests that adjusting market exposure during recessions can improve a portfolio's risk-return profile. We've analyzed the optimal times to exit and re-enter the market and introduced an idea that could be a potential solution for market timing during economic downturns.
Read
May 18, 2025
0-DTE Options In April 2025: A Real-Time Market Stress Test
Vladimir Ofitserov
The true test of any financial innovation is how it performs in a storm. For 0-DTE options, that storm arrived in April 2025, when a sudden wave of tariff escalations and geopolitical shocks triggered a full-blown market panic. As volatility surged and the S&P 500 fell sharply, 0-DTE options found themselves at the center of the action—not just as a trading vehicle, but as a force potentially influencing market dynamics in real time. This episode offered a rare window into the behavior of zero-day options under extreme stress. It revealed both their power and their limitations—how they can…
Read
Jun 4, 2024
Forecasting Financial Asset Returns with Large Language Models, GPT-TS Case Study
Ruslan Melnikov
Forecasting financial time series data can indeed be challenging due to various factors such as volatility, non-linearity, seasonality, and external market influences. These complexities make it crucial to utilize sophisticated techniques and models to generate accurate predictions. Common approaches to forecasting financial time series include using statistical models, such as ARIMA and its variations, to analyze linear dependencies and trends, or employing machine learning algorithms like RNN or LSTM to uncover complex patterns in the data. Alternative neural network architectures for time…
Read
Aug 22, 2023
LSTM Networks for estimating growth rates in DCF Models
Ruslan Melnikov
This article delves into Discounted Cash Flow models and explores the use of LSTM networks for more accurate growth rate estimation. It also proposes a simple ranking strategy that combines the DCF valuation approach with LSTM Network-based growth rate predictions.
Read
Jul 20, 2023
The Race of Asset Allocation Strategies
Vladimir Ofitserov
Asset allocation represents one of the largest groups of investment strategies. We have selected nine of the most well-known strategies from this group and evaluated their performance over the recent 10-year period, from July 2013 to July 2023.
Read
Jun 4, 2023
Active Sector Rotation Strategy
Ruslan Melnikov
Active rotation is a dynamic investment strategy that requires regular portfolio adjustments to capitalize on evolving market conditions. Compared to other investment strategies, active rotation might be more time-consuming and complex, but it also presents greater potential for higher returns. By continually tweaking portfolio holdings, investors can exploit market inefficiencies and mispricings, potentially yielding higher returns than a traditional buy-and-hold strategy. In this article, we delve into the merits of active rotation, particularly focusing on sector rotation.
Read
May 15, 2023
Optimal Tail-Risk Hedging
Denis Bogutskiy
It is well known that the appropriate selection of assets and their respective weights in a portfolio can significantly influence investment outcomes. In this article, we will evaluate a variety of conventional instruments that may help protect portfolios against market downturns and enhance the risk-return profile, based on historical data. We will use metrics such as individual Compound Annual Growth Rates (CAGRs) and Sharpe ratios measured in different market regimes: RISK-ON and RISK-OFF. The ultimate goal is to identify a strategy that provides a favorable trade-off between performance…
Read
May 2, 2023
Optimal Asset Class for Each Fed Policy Regime
Vladimir Ofitserov
The Federal Reserve is nearing a regime shift, as it's expected to pause after the current rate-hiking cycle, with declining interest rates likely to follow. Navigating this changing Fed dynamic is essential for investors. In our research, we analyzed the behavior of Stocks, Treasuries, and Gold across different Fed Policy Regimes since 1982. Our findings illustrate that adjusting portfolio allocations and employing asset rotation strategies based on the prevailing monetary environment could potentially enhance the overall risk-return profile of an investment portfolio.
Read
Apr 23, 2023
The Stock Market Behavior During Recessions
Vladimir Ofitserov
Our team has examined market behavior during recessions since 1926. The research suggests that adjusting market exposure during recessions can improve a portfolio's risk-return profile. We've analyzed the optimal times to exit and re-enter the market and introduced an idea that could be a potential solution for market timing during economic downturns.
Read
May 18, 2025
0-DTE Options In April 2025: A Real-Time Market Stress Test
Vladimir Ofitserov
The true test of any financial innovation is how it performs in a storm. For 0-DTE options, that storm arrived in April 2025, when a sudden wave of tariff escalations and geopolitical shocks triggered a full-blown market panic. As volatility surged and the S&P 500 fell sharply, 0-DTE options found themselves at the center of the action—not just as a trading vehicle, but as a force potentially influencing market dynamics in real time. This episode offered a rare window into the behavior of zero-day options under extreme stress. It revealed both their power and their limitations—how they can…
Read
Jun 4, 2024
Forecasting Financial Asset Returns with Large Language Models, GPT-TS Case Study
Ruslan Melnikov
Forecasting financial time series data can indeed be challenging due to various factors such as volatility, non-linearity, seasonality, and external market influences. These complexities make it crucial to utilize sophisticated techniques and models to generate accurate predictions. Common approaches to forecasting financial time series include using statistical models, such as ARIMA and its variations, to analyze linear dependencies and trends, or employing machine learning algorithms like RNN or LSTM to uncover complex patterns in the data. Alternative neural network architectures for time…
Read
Aug 22, 2023
LSTM Networks for estimating growth rates in DCF Models
Ruslan Melnikov
This article delves into Discounted Cash Flow models and explores the use of LSTM networks for more accurate growth rate estimation. It also proposes a simple ranking strategy that combines the DCF valuation approach with LSTM Network-based growth rate predictions.
Read
Jul 20, 2023
The Race of Asset Allocation Strategies
Vladimir Ofitserov
Asset allocation represents one of the largest groups of investment strategies. We have selected nine of the most well-known strategies from this group and evaluated their performance over the recent 10-year period, from July 2013 to July 2023.
Read
Jun 4, 2023
Active Sector Rotation Strategy
Ruslan Melnikov
Active rotation is a dynamic investment strategy that requires regular portfolio adjustments to capitalize on evolving market conditions. Compared to other investment strategies, active rotation might be more time-consuming and complex, but it also presents greater potential for higher returns. By continually tweaking portfolio holdings, investors can exploit market inefficiencies and mispricings, potentially yielding higher returns than a traditional buy-and-hold strategy. In this article, we delve into the merits of active rotation, particularly focusing on sector rotation.
Read
May 15, 2023
Optimal Tail-Risk Hedging
Denis Bogutskiy
It is well known that the appropriate selection of assets and their respective weights in a portfolio can significantly influence investment outcomes. In this article, we will evaluate a variety of conventional instruments that may help protect portfolios against market downturns and enhance the risk-return profile, based on historical data. We will use metrics such as individual Compound Annual Growth Rates (CAGRs) and Sharpe ratios measured in different market regimes: RISK-ON and RISK-OFF. The ultimate goal is to identify a strategy that provides a favorable trade-off between performance…
Read
May 2, 2023
Optimal Asset Class for Each Fed Policy Regime
Vladimir Ofitserov
The Federal Reserve is nearing a regime shift, as it's expected to pause after the current rate-hiking cycle, with declining interest rates likely to follow. Navigating this changing Fed dynamic is essential for investors. In our research, we analyzed the behavior of Stocks, Treasuries, and Gold across different Fed Policy Regimes since 1982. Our findings illustrate that adjusting portfolio allocations and employing asset rotation strategies based on the prevailing monetary environment could potentially enhance the overall risk-return profile of an investment portfolio.
Read
Apr 23, 2023
The Stock Market Behavior During Recessions
Vladimir Ofitserov
Our team has examined market behavior during recessions since 1926. The research suggests that adjusting market exposure during recessions can improve a portfolio's risk-return profile. We've analyzed the optimal times to exit and re-enter the market and introduced an idea that could be a potential solution for market timing during economic downturns.
Read
Trading intraday volatility and structural flows while benefiting from accelerated time decay