Designing a Trading Robot that Trades Futures on Volatility

A new asset class within the world of financial derivatives has recently emerged a decade ago: volatility itself as well as options on volatility. Pricing such esoteric instruments requires a knowledge of the kurtosis of the distribution curve, which is a difficult information to obtain. It also requires the advent of models which take into account jumps in the distribution of asset prices such as variance-gamma or Heston models. This project is a challenging and fascinating one: ECP students will try and create a robot that will trade and arbitrage the futures on volatility market. Download pdf file for details.

algo_trading1.pdf — PDF document, 78Kb