Publications by Jonathon Barbaro, CFA
Exploring Mean Reverting Properties of Intraday Returns for Equity ETFs
Background Information Using a Internal Bar Strength Indicator (IBSI) , the aim of this post is to show the mean reverting properties of overnight returns. The indicator measures the relative position of the daily closing price with relation to the daily price range. When the Close price is near the bottom of this range the following day’s Open p...
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Vertex Protocol Valuation Report
Background For many years centralized exchanges have dominated in both traditional and crypto markets. It wasn’t until the concept of DeFi and AMMs that crypto native users were able to trade spot markets without the need of a broker. While this concept was novel it did not provide a practical solution for users who still wanted the benefits of C...
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What Drives Markets: An Exploration of Valuations and Narratives
Finance and Frappuccinos Introduction The last several years have been a fairly wild ride for market participants. From covid growth shocks, to money printing, to transitory inflation … then not transitory inflation, rapid rate hikes and now AI disruption, the last 5 years offer a crash course into all of the mechanisms that drive valuation and ...
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Dear Dubas
Finance and Frappuccinos Introduction The inspiration for this post came after watching a random video on YouTube titled Is Kyle Dubas a Fraud or a Hockey Genius?. I know, I know you should let bygones be bygones, but as a devout Maple Leafs Fan, I was curious. Now you might be thinking… why? Mr. Dubus isn’t even the GM of Toronto anymore… ...
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Fun With Option Pricing When Rates Matter
Finance and Frappuccinos Introduction If you are like me then for most of your career in finance you’ve been in a “near-zero” world. Between global monetary easing, QE and other alphabet soup programs designed to keep interest rates down, worrying about rates seemed archaic… that was until 2021 when inflation which was obviously transitory...
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AI-nalyst: Valuation of AAPL using Chat-GPT
Finance and Frappuccinos Introduction Like many people this year, I have been caught in the storm of AI developments. As an individual who has spent most of their career at the intersection of data science and finance, I’ve been fortunate to have worked on many projects combining copious amounts of financial data with the relatively novel evolut...
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