HeyJaredHarbourfront Quantitative Finance
Delivering actionable tips, strategies, and educational content to help you excel in trading and master quantitative finance concepts. I send out a newsletter once a week. Throughout the week I also publish web-only posts and Notes.
- Indexed issues, last 90 days
- 17
- Latest publication
- Sep 30, 2026
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- Aug 25, 2026
Latest issues
Using an Autoregressive Model to Predict the Price-to-Earnings Ratio and Develop an Investment Strategy (opens the original)
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In a previous post, we highlighted an article that showed how useful accounting numbers are. In this post, we will present a concrete example of an application of accounting numbers in portfolio management.Reference [1] showed that the Price-to-Earnings ratio is a mean-reverting process, and it can be accurately estimated by AR(1), an econometric model. Earnings, on the other hand, follow a trend process and can be modeled by a first-order integrated process with a constant factor that captures
The Performance of Subscription-Based Option Recommendations (opens the original)
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Retail options trading volume has increased significantly, attracting growing attention from both market practitioners and academics. We have previously discussed how retail options trading is changing volatility dynamics.Along the same line, Reference [1] studies this issue but focuses on a small subset of retail options traders. Specifically, the authors examine paid Discord option-trading services, including their performance, publishers’ behavior and incentives, and market impact.To this end
Are Accounting Numbers Useful? (opens the original)
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Accounting numbers are prevalent in financial reporting, business valuation, and investment management. They’re so frequently used that the practitioners rarely asked pragmatic questions such as: are they useful, do they account for some meaningful risks, can they be used to price assets.A recent article [1] attempts to bring some answers to these questions,This paper is a treatise on handling accounting numbers in building factor models. Those numbers include book value, investment, return on e
Correlation, Volatility-of-Volatility, and Sector Implied Volatility (opens the original)
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Correlation is an important component of portfolio and risk management. However, unlike volatility, which has received significant attention and for which numerous models have been developed, correlations have received considerably less attention from a modeling perspective.In this edition, we give correlations the attention they deserve and examine their role in volatility dynamics, portfolio construction, and trading.Web-only posts RecapBelow is a summary of the web-only posts I published duri
When Trading Strategies Look Too Good (opens the original)
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Designing a robust trading strategy is not a trivial task. Many systems look good at the design stage but break down or experience deteriorating performance once deployed. There is a small but growing body of research addressing the issue of system robustness. For example, we recently discussed why system performance tends to decay after implementation.Reference [1] continues this line of research. Specifically, the authors demonstrate how fragile a trading system can be. For this goal, they stu
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