Download PDF Abstract This technical report details the architecture and implementation of the BSIC Quant Library, a Python-based infrastructure designed to centralize and optimize financial data retrieval for the BSIC members. The system is designed to facilitate access to financial data from the association’s members by providing a robust pipeline Read more…
Download PDF Abstract This project develops a coherent framework for modelling the implied volatility surface by combining stochastic volatility, local volatility, and smile-consistent interpolation techniques. Starting from market conventions, risk-neutral valuation, and vanilla option pricing, the work introduces the volatility surface as a mapping from strikes and maturities to implied Read more…
Download PDF Abstract This research presents a Time Series Momentum (TSMOM) trading strategy implemented on highly liquid exchange-traded funds (SPY and GLD), enhanced with a novel macro-instrumented regime switching framework for state-dependent de-risking. Our approach addresses the well-documented momentum crash problem—sudden reversals that can wipe out months of accumulated gains Read more…