6:00 PM Seminar Begins
7:30 PM Reception
140 West 62nd Street
New York, NY 10023
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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.
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.