Fixed Price: Not Sure
| Posted: Mar 12, 2014 | Ends: 11d, 0h |
Quant Modeler Financial Engineer I. Project: A. We are trying to create a data driven model that will utilize the VIX and the Vol on the VIX to compute and predict when we should reduce market exposure. For example: If we are long the SPX with 100 units; and the VIX rises 1% to 18%; should we reduce SPX (market exposure). B. We do not want to constantly trade in and out of market (buy and sell SPX more than 1x per 30 days) therefore we need to measure the significance of the VIX and Vol on VIX. For example, if the VIX move +1% and this is insignificant because it goes to 10%; then what about three consecutive moves of 1%; or what about +3% in one day. Therefore, we need some modeling on scenarios such as: VIX +/- % for number of moves, at a high confidence level, is likely to generate x% move; Or what combination of events can occur to the volatility of the VIX (intra-day or over some time period). II . DELIVERABLES: A. Daily update in writing as to status o...
Category: Investment Analysis
Hourly Rate: Not Sure
| Duration: Not Sure
| Posted: Mar 10, 2014 | Ends: 9d, 5h |
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