Do you have an interest in financial markets and/or massive amounts of data? During this project, Belvedere Trading wants students who are interested in applying a new technology to the trading world. While most people look at the stock market as a question of up and down, Belvedere uses financial options to quantify more complicated questions about how fast we move, how many gyrations occur, and if we know we are going up, does that change our assumptions of how fast. We hope to incrementally build from foundational to the newest and most cutting edge machine learning algorithms throughout this project to predict what will happen to markets in the near future.
As part of this project, students will get the opportunity to process data generated when markets tick, i.e. move from one tradeable price level to the next minimum increment tradeable price away. The question we are asking the Rice Students is can we use massive amounts of tick data to predict realized variance. Realized variance quantifies the number of tradeable prices experienced in the marketplace during a certain timespan. There is no prior knowledge of realized variance necessary before starting the project. We will require only the dedication and time necessary to learn and the ability and grit necessary to overcome problems in the project. By the end of the project, we hope to take the methodologies developed and insert them into Belvedere’s simulated market environment in order to provide real-world feedback on the results of the endeavor.
Contact Genevera Allen firstname.lastname@example.org for information on how to get involved.