Hybrid Event: Peng Cheng: Equity Alpha Signals From High Frequency Option Data
Details
IAQF & Thalesians Seminar Series: Equity Alpha Signals From High Frequency Option Data. A Seminar by Peng Cheng
Hybrid Event
To Attend Virtually, Please email web@iaqf.org and we will provide the zoom link.
Proof of Vaccination Upon Entry is Required for In-Person Attendees.
Registration is Now Free!
Abstract:
While research on option data has been rapidly developing in recent years, much of the empirical studies rely on end of day option prices. On the other hand, high frequency trade and quote data remains underexplored. We demonstrate the richness of this data by constructing two types of trading signals and show that they contain highly significant predictive power on the underlying equities.
- Estimated retail option order flows positively predict one-day ahead underlying stock returns
- Option gamma imbalances predict price patterns in the last 30 minutes of market hours
Bio:
Peng Cheng is Managing Director and Head of Big Data and AI Strategies at JPMorgan. He is responsible for developing cross asset investment strategies leveraging alternative data and advanced statistical techniques. Prior to joining the bank in 2010, he was a Convertible and Volatility strategist at Lehman Brothers/Barclays in New York. He holds a Master’s degree from the University of California, Berkeley and is a CFA charterholder.