Optiver & Imperial Trading Academy
Nov 7 - 29, 2023
Overview
This is an 8-session project that covers both the foundations of options theory and hands-on algorithm development and testing. At the end of the session, I participated with other student traders together in a real-time trading challenge by designing our own Python trading algorithm based on real financial market data.
What I did
- Developed a delta-hedging trading algorithm that autonomously traded options in Optiver’s simulated exchange, Optibook, leveraging the Black-Scholes model for option pricing.
- Trained an SVM model to dynamically adjust the credit for bid/ask prices based on liquidity, volatility, time to expiry, and historical price movements.
- Achieved positive PnL of $500,000, ranked in top 20% of participants in the contest with over 50 student traders.
