All-Russia Algorithmic Trading Conference 2016 · Feb 27, 2016 · Moscow

All-Russia Algorithmic Trading Conference

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.

VIX
Optons
Volatility
Futures
US market
Trading System
Trading
StatArb
Machine Learning

Cover image for All-Russia Algorithmic Trading Conference

Event page
Slides
Video

012016
Equity Index Volatility and Correlation Trading System
ML-based semi-automatic market making and position trading system utilizing statistical arbitrage opportunities in volatility index – equity index future spreads on US market.
- Matlab
- PostgreSQL
- Python
022013
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.
- Matlab
- PostgreSQL
- SQL

Related projects

Equity Index Volatility and Correlation Trading System

Equity/Index Options StatArb Portfolio Management System