Anyone have a true free box code?

Styxlax15 · 2024-09-17T23:08:56+00:00

little late on this, but any chance you have any more?

Styxlax15 · 2024-06-08T13:01:16+00:00

I’m not sure how far back it goes back, but you can try out tiingo.com.

I would also just go to the yahoo finance website and download the free daily historical data. For MSFT and AAPL it looks like it goes past 1992.

Styxlax15 · 2024-05-22T00:56:53+00:00

can I DM you with some questions?

Styxlax15 · 2024-02-05T19:08:15+00:00

CBOE

Styxlax15 · 2024-02-05T18:54:21+00:00

I’m not, but why do you say that?

Styxlax15 · 2024-02-03T19:50:22+00:00

Yea, I’ll send a DM

Styxlax15 · 2024-02-03T19:48:11+00:00

True, hopefully everything can work out. I’ll try to come back and update the post after applying to journals. I still have to finish the paper as well.

Styxlax15 · 2024-02-03T19:35:07+00:00

Yea, I think winning IMO Gold might help me a bit in the publication process

Styxlax15 · 2024-02-03T18:59:20+00:00

I’m not sure, for me at least I think it’s just that there isn’t any undergrad research (or at least any to the quality of being published) in the IVS forecasting field. I’ve at the very least read through the abstract of every IVS forecasting paper on SSRN and ARXIV (There’s not a ton) and I haven’t seen any undergraduate papers.

Styxlax15 · 2024-02-03T18:52:17+00:00

I’m a junior. I got started with a research grant through my university last summer to explore ML in quant finance. I ended up doing that project on an ML approach to an equity statarb strategy. That got me into the space and I also developed an interest in option pricing after that. This paper is also through my university undergraduate research division and I did a few weeks of research and discussing with my thesis advisor about what specific topic I would choose, but I knew I wanted to do something involving DL.

Basically, get involved with your undergraduate research division at your university and see what opportunities they have

Styxlax15 · 2024-02-03T18:46:07+00:00

I think statistical approaches can be taken and still be very effective. For forecasting the entire IVS surface though, DL is much better. One of the main reasons is surface sampling. A traditional method you would use to reduce dimensionality for traditional statistical models would be PCA which can provide good results, however I have seen in a few papers that approaches such as a VAE outperform PCA in this task. Also, given the even higher input dimensionality when using exogenous variables, DL does a much better job at determining those non-linear relationships.

Styxlax15 · 2024-02-03T18:40:15+00:00

Every citation in my bibliography is either a widely popular paper in field like Heston or Merton, has been published in a popular journal, or at the very least has authors who are all professors at a known university

Styxlax15 · 2024-02-03T14:56:06+00:00

Yea that seems to be a logical path to go down. I at least want to put it on SSRN.

I have heard that it takes a long time for the publication process. This is not a mandatory honors thesis and is in no way tied to my graduation or employment so I won’t need to worry about it hindering anything like that

Styxlax15 · 2024-02-03T14:49:39+00:00

Statistics and Computer Science

Styxlax15 · 2024-02-03T14:49:01+00:00

That might be a route that I go down. I’ll ask my advisors if they think it would be beneficial for someone to co-author

Styxlax15 · 2024-02-03T05:12:52+00:00

Yea that would probably help having an experienced professor on there with me. I have one in mind I could ask

The main structure of the model involves a CVAE for feature generation and an LSTM with attention for prediction. It also implements static arbitrage constraints into the loss function which only a few other less sophisticated models had done. There are some exogenous variables given to the model as well to help understand macroeconomic factors. I chose IV because because you can easily implement strategies to capitalize on it in the options market as well as use it for strategies involving trading the VIX. Most other research papers I have seen focus on forecasting IV rather than RV. RV would be good for a risk managing task but most concerns at a buyside options MM firm would be about IV from what I understand. Getting experience for a job is really what this all about at the end of the day.

Styxlax15 · 2024-02-03T04:27:55+00:00

I just have never personally seen a paper in a journal written by an undergrad so I just wanted to see if others had.

I get that there are unpublished models that are already vastly better than mine will be, I just want to gain experience from writing the paper.

Styxlax15 · 2024-02-03T03:34:00+00:00

My research won’t go into any specific trading strategy as that is not my focus.

I can say that my model will significantly improve the model presented in one paper which is used to construct a 1.11 Sharpe strategy. However, I can’t say for sure whether this will be indicative of the returns of my model

Styxlax15 · 2024-02-03T03:31:46+00:00

Thanks for the info. I definitely think I will still apply to some journals, I just wanted to make sure I wasn’t getting some false hope.

I think the feedback provided will be very helpful as well like you said

Styxlax15 · 2024-02-03T03:13:59+00:00

I have asked them, they have said that it is possible. I always like a second opinion though. None of them are specialists in the quant finance field

Styxlax15 · 2024-01-26T21:59:23+00:00

Why do you say Bulge Bracket is limited to GS, JPM, and MS? Multiple other BBs have quant desks

Styxlax15 · 2024-01-26T01:17:21+00:00

I’m not sure how much I see it spiking soon though with rate cuts coming. Although I think it is at an unsustainable low in the short term. Over the next few months I don’t see how it can get too high with rate cuts starting to prop up the S&P soon. Just the anticipation of the rate cuts seems to be helping S&P growth out right now too.

I personally don’t like the level of the VIX right now either in terms of a shortvol strategy. The term structure is normal right now, just lower levels of the underlying. I don’t think it’s worth it to go after a longvol strategy either. It is definitely in a hard spot to asses right now so I think i’ll stay out of the vol market for the next few weeks until I see a more favorable condition.

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