Other Projects
Quantitative Trading
Black Sholes Pricing Model
Options Trading Algorithm
I reverse-engineered Black Scholes implied volatility calculation to determine option pricing through a range of implied volatilities.
I determined the probability density function (PDF) of X-day stock returns (assuming X days to option expiration) by determining the totality of all historical X-day stock returns. I then calculate the cumulative density function (CDF) by taking the cumulative sum of the PDF. From the CDF, I can determine what the probability that an option with a specific exercise price and maturity will expire in-the-money.
From the real-time option price quotes and the Black-Scholes formula, I can calculate the implied volatility and N(d2). I compared the CDF from historical returns and compared them to the CDF from N(d2) (the risk-adjusted probability that the option will expire in-the-money) in the Black-Scholes formula. This allowed me to determine options that were under- or over-valued.
R Function Build of Tradestation API
My objective was to analyze the mathematical concepts in options valuation. To code real-time analysis in R, I needed to rebuild the TradeStation API in R. I rewrote all TradeStation API functions into R, including oAuth authentication, requesting symbol data, and ingesting websocket streaming data into a NoSQL database with no latency.
The system was able to identify Black-Scholes pricing anomalies in real time.
Full R code port of TradeStation WebAPI (https://developer.tradestation.com/webapi/) using TradeStation’s RESTful web services and CURL access
Oracle Intern Welcome Video
I designed the welcome package for new Oracle interns. The objective I was given was to create a custom welcome package delivered in a physical video card to make interns feel welcomed to Oracle and excited for their internship experience.
I designed the video's story and narrative, all of the graphics in Adobe Illustrator, and animated those using Adobe Premiere. While creating this video, I learned graphic design and animation from scratch.
Ultimately, this campaign contributed to a 9/10 satisfaction rating for the internship experience.