Systematic Edge


 

Vertical Skew IV [0.13]

Posted on March 6, 2016, 3:40 p.m. by Systematic Edge @ [source]

Vertical Skew is the shape of the implied volatility (IV) term structure for a single options chain maturity. There is also something called a horizontal skew which is the IV across maturities.

decline delta fly IV option PnL position skew vega wing

 

Automated Trading System – Internal Order Matching [-0.02]

Posted on Feb. 22, 2015, 3:12 p.m. by Systematic Edge @ [source]

Most automated trading systems (ATS) are built such that there are little to no interactions between component models. Here I am referring to a trading system as the overarching architecture that houses multiple individual models.

fills handle limit limiting market model multiple prediction referring trading

 

CRSM Code [-0.25]

Posted on Nov. 13, 2014, 9:14 p.m. by Systematic Edge @ [source]

The code below represents the CRSM algorithm.

I would like to once again thank you David Varadi for his tireless effort in guiding me along this past year.

Adam adopted Butler code easier framework gratitude refactored sit user

 

Shiny Market Dashboard [0.33]

Posted on June 12, 2014, 4:27 a.m. by Systematic Edge @ [source]

I’ve been asked multiple times regarding code for the dashboard so thought I’d release it. I coded the whole thing in one night last year so it’s not the best and most efficient, buts it’s a good framework to get your own stuff up and running.

buts code coded efficient exciting framework lines night North stuff

 

Natural Language Processing [0.08]

Posted on March 31, 2014, 10:34 p.m. by Systematic Edge @ [source]

I’ve recently updated some matlab code about machine learning on to github. The main concepts we covered in class were ngram modelling which is a markovian process.

adding concepts covered future model NLP states utilized values word

 

Artificial Intelligence [0.20]

Posted on March 15, 2014, 3:08 a.m. by Systematic Edge @ [source]

Artificial intelligence surrounds much of our lives.

When studying AI, the term agent is used to represent an entity/model that interacts with the environment.

actuators agent environment human humans inputs intelligence knowledge logic machine model objective reflex agent system

 

Beyond Pairs [0.12]

Posted on March 2, 2014, 5:24 p.m. by Systematic Edge @ [source]

Writing rather prolifically this past week.

The concept of being able to control the factors we are exposed to is very appealing as it allows us to potential shy away from turbulent events that transpire from specific assets.

asset composed construct employ etfs factor movements neutral portfolio uncorrelated

 

Energy Stat Arb Part 2 [-0.02]

Posted on March 1, 2014, 7:50 p.m. by Systematic Edge @ [source]

In my previous post, I rushed through a lot of technical details on how I implemented the strategy.

In this post, I want to re-visit energy pairs (XLE vs OIL) trading but with the traditional spread construction approach through regression analysis.

align analysis approached data dividends performance providing QuantQuote spread understandable

 

Energy Stat Arb [0.14]

Posted on Feb. 26, 2014, 1:32 a.m. by Systematic Edge @ [source]

Back to my roots. Another well-known trade would be to derive value for the SPY against TLT (rates), HYG (corp spreads), and VXX (Vol).

assets derive legged oil outright portfolio spread trade trading XLE

 

Machine Learning Code [0.00]

Posted on Feb. 15, 2014, 4:28 a.m. by Systematic Edge @ [source]

I thought I’d share some code I’ve written for a Machine Learning class I am taking at my school. The project required me to write matlab code for various ML algorithms including, KNN, Linear Classifiers (MSE, Perceptron batch), and Adaboost.

algorithms classifiers code including KNN linear matlab ML project required