Mark James Thompson
Overview and Introduction
Trade Master is a high-level framework to rapidly test and develop multi-asset option-based long-short portfolio strategies.
It consists of four layers: 1. a management layer written in Python to handle data, construct option objects, etc. 2. an analytics layer written in R to perform analytics and handle the high-level prototyping such as choice of entry, exits, portfolio anlytics, etc. 3. a pricing layer written in C++ and OpenCL to allow fast computation and parallel computing. 4. a visualization layer using Shiny to spot opportunities
Index Volatility Arbitrage
Long-Short Equity Options