Python Code for Option Analysis

Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.

Various multivariate, multistep LSTM models using SPX options data to forecast the CBOE VIX to improve future market volatility forecasts. Monte Carlo simulation and Facebook Prophet forecasts included for comparison.

Build an automated process to collect vix futures data from IB and create a time-series. Offer service as API.

Limit Order Book IPs on FPGAs

This project is aimed on forecasting values from CBOE (Chicago Stock exchange) adjusted closing values.