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Work on a Project to Develop Quantitative Trading Strategies
* Evaluate Data, Come Up with Strategies, and code Strategy in a tool like Matlab.
• Development of adaptive clustering algorithm to augment linear regression prediction of stock, derivative, or FX, returns for High Frequency Trading (HFT). Features included adaptive dimensionality reduction and subspace projection and machine learning with profited-weighted error metric.
• Development of strategies based on mean reversion(long/short) and momentum strategies(Trend following), alpha generating models using fundamental factors like Earnings yield, Dividend yield, revenue growth etc.
Modeling of volatility using GARCH models, Exponential Moving weight average(EMWA) and Stochastic models.
Competent in stochastic calculus, Partial differential Equations (PDE), Ito's Lemma, mathematical probability distributions, statistical concepts, theorems, mathematical expectations, calculation of Greeks, implied volatility and linea...
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