The objective of this PI2 project was to develop an algorithmic trading and execution strategy for Systemathics. As a team of 4 ESILV students, we aimed to implement a peer trading strategy using statistical data and Machine Learning models and to analyze our results in order to deduce future improvements. By definition, peer trading (or […]
The topic deals with US index replication via a trading strategy based on cointegration, trying to improve it if possible so that it is a successful long-short strategy. We refer to the article “The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategy” by Carol Alexander and Anca Dimitriu published in 2002. This […]
Cryptocurrencies are becoming more and more popular, and their use is becoming more democratic. They are now more and more numerous, and easy to use. However, earning money via these crypto-currencies is not so obvious. Many strategies already exist. The goal of our project was to write trading bots in python that perform on the […]
5-th year project 2019-2020 • ESILV • PI²5 ► https://bit.ly/2L323US ? Our project is called “Systemic Collar Strategy” which was proposed by AXA IM. First of all, we had to truly understand the title of the subject before we could fully embark on it. A systemic collar-type strategy corresponds to the sale of an option […]
Ecole Supérieure d'Ingénieurs
Léonard de Vinci
Pôle Léonard de Vinci
92 916 Paris La Défense Cedex
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