Team Name: LIBERALARTSEDUCATION
Read the handout first: http://americas.etc.janestreet.com/handout/
Handout username: sf-2019, password: karlthefog
When you're ready, SSH to [email protected]
Password: description_dramatic_soup_fact
This file is all of the code we wrote and tried for the Jane Street ETC Contest. Main idea, use Exponential Moving Average to compute the fair value for all of the underlying securities. Then do some weighting to compute the fair values for certain items dependent on a basket of securities. The hyperparameters (margin of sell/buy, the # of securities to sell or buy, the threshold of when to cancel and send out new orders, the number of days in our EMA period).