AI Powered Real-Time Analytics on Exchange Traded Options
With a recent and dramatic rise in interest between option and equity markets and how they interact, (viz. market completeness and lead-lag relationship), delta one market participants start to realize the usefulness of derivatives market activities in equity trading. One of the most prevailing topics is forecasting the direction of stock price movement through option data analysis. In this session, we will walk through our end-to-end research process and illustrate quantitative finance/machine learning techniques we applied to extract embedded value from exchange-traded options transaction records.
Xuyang(Bill) Lin is a Senior Data Scientist at NASDAQ’s Machine Intelligence Lab, a group dedicated to leveraging AI to improve financial markets and solutions. His previous projects covered financial derivatives, alternative data research, portfolio construction, and model surveillance. He holds a Masters of Finance degree from MIT.