no code implementations • 8 Apr 2023 • Nikolas Michael, Mihai Cucuringu, Sam Howison
We introduce OFTER, a time series forecasting pipeline tailored for mid-sized multivariate time series.
no code implementations • 23 Jan 2022 • Nikolas Michael, Mihai Cucuringu, Sam Howison
We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the spot market.