Equity/Index Options StatArb Portfolio Management System (2008-2013)

Last updated on Jun 26, 2024

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.

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Events

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.
Feb 27, 2016 Moscow
Peter Gagarinov
Project Project Slides Video
All-Russia Algorithmic Trading Conference