Optiver Challenge Entry - Moving averages, machine learning

This is our entry for the Optiver Challenge at OxfordHack.

Members:

• Luke Texon
• Jonathan Longman
• David Valaczkai
• Raghav Khanna

We implemented the following algorithms:

• A basic algorithm that waits for the optimum opportunity to buy/sell.
• A moving average algorithm.
• A machine learning algorithm that analyses the last set of recent SP prices to predict the next ECX price. This is using the fact that the ESX prices seem to follow the pattern of the SP prices.

Built With

• matplot
• python
• scikit-learn