You can impose the positive autocorrelation in the random generator. But most bootstraping methods miss this step.

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Most quant models are correlational - they tell you what moved together in the past. But robust investing needs more than correlation. It needs causal structure + functional form. Our latest blog explores how the two work together. 👉 Read more: dub.link/Xe9cHWg #CausalInference #QuantFinance

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Variational Autoencoders in Volatility and Option Pricing #finance #trading #investing The Black–Scholes–Merton model is a groundbreaking and foundational framework in option pricing; however, it has well-known limitations. Several extensions have been …

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Improving Pairs Trading with Cluster-Based Pair Selection #finance #trading #investing Pairs trading is a classic quantitative trading strategy. Despite its widespread use, it continues to attract research attention. A recent line of research focuses on…

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Lead-Lag Relationship Between the VIX Index and VIX Futures #finance #trading #investing In a previous post, we discussed the lead-lag relationship between the volatility index, VIX, and SPX futures. In this post, we are going to look at the relationshi…

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