Implied volatility forecasting using SDRs

What we do:

The goal of my project is to better forecast option prices, this could help tons of people as they could use my strategy themselves to improve their trading. Also, academically its very important to explore options pricing as it is a huge part of the economy.

How we do it:

I explored using LSTM neural networks fed in with SDR/macroeconomic data to forecast Implied volatility surfaces. I used Python to code everything with pandas/numpy used heavily.

Our Goal:

This project is ongoing so conclusions have not been made yet but we hope to better understand how trading impacts the economy.

Interested in learning more:

Email me at nberlingeri@muhlenberg.edu.

Collaboration Opportunities

I have interacted with many quantitative researchers/traders in the industry during my project. I have spoken to close to 30 Ph.D. mathematicians/computer scientists/physicists to advise me and learn from their advice.

Communicating our work

I use written papers mainly and examples of my code/excel file outputs.