January 2018
Intermediate to advanced
470 pages
11h 9m
English
Content preview from Scala Machine Learning Projects
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Creating an option property
Considering the market volatility, we need to be a bit more realistic, because any longer-term prediction is quite unreliable. The reason is that it would fall outside the constraint of the discrete Markov model. So, suppose we want to predict the price for next two days—that is, N= 2. That means the price of the option two days in the future is the value of the reward profit or loss. So, let us encapsulate the following four parameters:
- timeToExp: Time left until expiration as a percentage of the overall duration of the option
- Volatility normalized Relative volatility of the underlying security for a given trading session
- vltyByVol: Volatility of the underlying security for a given trading session relative to ...
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