Jaoui, Monsieur Dylan (2022) Optimal Stock Option Trading Strategies PFE - Project Graduation, ENSTA.



Over the past decades, interest in finance, and more particularly interest in the evolution as well as the prediction of the markets, exploded. One aim that the automatic control laboratory at ETH Zürich would want to achieve is to use some of the robotic optimization models and to apply them to finance. During this internship, I only worked on the financial part of the problem. The main goal of my internship was to create some predictions and optimizations in Python based on known simulations such as Monte-Carlo. Initially, I mostly studied the theory under prediction methods as well as neural networks. Indeed, these are really needed in predictions. Then, I developed my researches by creating my own prediction model codes. Finally, I work on the optimization of the wealth of a portfolio by following the evolution of a market. This internship is therefore a first step towards the desired application by the laboratory.

Item Type:Thesis (PFE - Project Graduation)
Subjects:Mathematics and Applications
ID Code:9398
Deposited By:dylan Jaoui
Deposited On:22 mai 2023 11:14
Dernière modification:22 mai 2023 11:14

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