Worked on three projects: tw/tw_r8fin/jefferies.
Phase I
- Data Extraction
- Data Cleaning, Resizing
- Feature Engineering
- EDA
Phase II
- OW/Reduced OW Model
- Cross/Price Impact Matrix
- Heatmaps
- VPIN (Informed/Uninformed Traders)
- Glosten-Milgram Model
Phase III
- SOR
- Dealer Ranking System
- PnL Anlysis
- Deep Learning
- RL Model