Our Articles

18 May 2025

Vladimir Ofitserov, CFA

0-DTE Options In April 2025: A Real-Time Market Stress Test

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…

04 Jun 2024

Ruslan Melnikov

Forecasting Financial Asset Returns with Large Language Models, GPT-TS Case Study

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…

22 Aug 2023

Ruslan Melnikov

LSTM Networks for estimating growth rates in DCF Models

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.

20 Jul 2023MacroModels

Vladimir Ofitserov, CFA

The Race of Asset Allocation Strategies

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.

04 Jun 2023

Ruslan Melnikov

Active Sector Rotation Strategy

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.