Financial Trading Analytics: Algorithmic Insights
"Explore the world of financial trading analytics, algorithmic trading, and critical thinking through the lens of a recommender algorithm. Dive into demo sessions, alternatives scoring, and parameters tuning for strategic decision-making in the trading world."
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Presentation Transcript
Financial Trading Analytics Algorithmic Trading Understanding the recommender
Critical Thinking Easy meter 1/3 people got all Vols right (+/- 2%) Learning Objective: understanding the recommender algorithm
You Do The Talking Name, Major Things you like about WINIT Things that can be improved about WINIT Recommendations to next class Questions about the tournament
Financial Trading Analytics Demo The recommender
Scoring the alternatives This is just a random example: do not follow it! JULY EXPIRA- TION YOUR TEAM SCORE QUALITY A-E PRICE A-E IMPACT MARGIN ALTERNATIVE PRICE TC COEFF. CASH Buy stock HI n/a n/a n/a LOW OUT NO Buyback stock HI n/a n/a n/a LOW OUT YES (-) July Buy calls LOW A > E A > E MEDIUM OUT NO cheaper July Buyback calls LOW A > E A > E MEDIUM OUT YES (-) cheaper July Sell puts LOW E > A E > A MEDIUM IN NO cheaper July Sell short puts LOW E > A E > A HI IN YES (+) cheaper
In summary to tune your ST consider: 1) Frequency of recalibration (hedging today?) 2) size of portfolio delta imbalance (do we need to hedge?) 3) price of security and available cash (do we have the money?) 4) closeness to max margins (can we borrow more?) 5) delta of security (how many?) 6) transaction costs (can we afford it?) 7) quality of hedge (fit on chart) 8) effect on AP portfolio and CAccount (grows/shrinks?) 9) risk of going out of the money or grow out of control
Main parameters to tweak Frequency of hedging Family Delta threshold Type of transaction preferences A-E options preferences Delta threshold Family delta target Max buy cushion Available cash cushion Max margin cushion Max short cushion (HedgingToday) (NeedToHedge) (CalcCandidateRecScores) (scoring rules) (CalcQtyNeededToHedge) (CalcQtyNeededToHedge) (MaxPurchasePossible) (AvailableCashIsLow) (TooCloseToMaxMargins) (MaxShortWithinConstraints)
