A derivatives trading recommendation system: : The mid‐curve calendar spread case
Pages 83 - 103
Summary
Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a daily basis. Up to now, not a single solution is available to aid in their job. Hence, this work is aimed to develop a trading recommendation system, and to apply this system to the so‐called Mid‐Curve Calendar Spread (MCCS) trade. To suggest that such approach is feasible, we used a list of 35 different types of MCCSs; a total of 11 predictive and 4 benchmark models. Our results suggest that linear regression with l1‐regularisation (Lasso) compared favourably to other approaches from a predictive and interpretability point of views.
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© 2019 John Wiley & Sons, Ltd.
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John Wiley and Sons Ltd.
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Published: 12 August 2019
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