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Professional website about Algorithmic Trading and Market Microstructure

This section describes the content of publications, working papers or personal researches with a focus on practical applications and numerical simulations. Codes and files might be attached with examples when helpful.

In general, scientific published papers focus on a specific point from their field and required important knowledge about the subject. Here is presented conclusions with extra examples and commented codes to explain the application of those findings without requiring a depth background. For example, a physicist without knowledge on the mechanic of financial markets will easily follows examples and conclusions.

Options: My personal research is focused on options close from expiration (weekly). More precisely, I am studying intra-day E-mini S&P500 Weekly Options (EW1, EW2, ES, EW4, EW) price fluctuations. One big component is the time decay (cost) which does not follow the typical square root as approximated by Black-Scholes model. The second big component is the drastic change in the structure of implied volatility (cost). Finally, the third important component is the prediction of price change (benefit) of the underlying .

Market Microstructure (FOREX): Our laboratory has access to data on EBS/ICAP market. This electronic platform connects institutional investors (over-the-counter) on a singular exchange market. A total of 48 currencies is transacted on this foreign exchange market. Market participants can only transact with each other if there is already a credit agreement with each other.