2013 · 2008-2013
Equity/Index Options StatArb Portfolio Management System
Semi-automatic trading system built for US options market making and position trading using a relative value implied volatility modeling based on a statistical forecasting of co-movements of implied volatility surfaces.
Semi-automatic trading system built for US options market making and position trading using a relative value implied volatility modeling based on a statistical forecasting of co-movements of implied volatility surfaces.
Related talks
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All-Russia Algorithmic Trading Conference
All-Russia Algorithmic Trading Conference 2016Moscow
Peter shares his experience with building the ML-based semi-automatic market making and position trading system utilizing statistical arbitrage opportunities in volatility index – equity index future spreads on US market.
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