The project is the real-time optimization of an options portfolio. The project will require the minimization, maximization, and constraint or 'best compromise' of thousands of data points. The variables consist of profit/loss, yield, delta, and vega. The program will minimize certain values, at certain points, while optimizing other values at other specific points. There will be anywhere from 30,000 points to upward of 1,000,000+ points. The project requires a seasoned developer with MatLab, Mathematica, optimization. or parallel computing experience.
The program will optimize option [login to view URL] full scale optimization will optimize for Vega, yield, profitability (P.P.) and delta. It will include 1 optimization button, fields to input, theta, and yield and profitability values. A custom algorithm will be devised by the programmer to minimize and maximize according to the functional requirements. Further, these initial variables equal billions of possible combinations. Therefore, you will implement a custom solution to solve for the variables entered by the user by utilizing computing.
Another issue is the optimization needs to be relatively quick (< 2 minutes) since we are trading on real-time options data.
Hello. I'm expert in financial mathematics, forex markets and forecasting strategies. I have a Ph.D. in mathematics and the best rate in mathematics here. Experience in Matlab is over 7 years. I can help you to develop and implement the needed algorithms for real-time trading. If you are interested, we can talk about this. For more details you can have a look at my profile.
Thanks for consideration.
HI Redwafer. I am a strong background in mathematics with a strong command over Excel and Matlab. Besides Matlab we can also simulate your project in either Excel or C++, since the retrieval of results in short span is critical. I have done very similar projects during my post graduation and in my professional career and I can again manage it for you. Kindly discuss the project.
Regards.
Usman.
Hello!
I have quite some experience in numerical approximations and different optimization algorithms (for example, you can see I am currently doing two projects that might be related to yours - one is stock market algorithm implementation, and the other is for an Alaskan Oil Company finding optimal functions for their parameters to assess the necessary product characteristics). I am not well versed in econometrics, but I am in mathematics and did some Black-Scholes related assignments. If you would be willing to work with me on this and guide me in the area of your expertise, I think we would be able to solve this relatively quickly, and I would do it for less cash than your minimum offer.
I specialize in MATLAB.
Contact me if you need further info.
Best regards!
Professional software engineer with 37 years of experience, I am good at MATLAB, C , C++ , further I have used PSO based algorithm for currency trading
Hi, I read your requirements, i am ready to the work. I am having 6+ year of experience in ASP.NET, MVC, C#.NET, VB.NET, MS SQL Server 2008 R2/2005, WCF Service, WCF REST Service, Javascript, JQuery, CSS. Can we discuss more about the requirements? Please let me know your concern.
Thanks
Raviranjan
Dear Sir:
Thank you for opportunity to submit my proposal for your project.
I am MSc engineer with more than 10 years of programming experience in engineering and scientific fields. I have extensive knowledge in optimizations problems using linear programming and/or dynamic programming. As an example of my experience in this area, I had completed a dll to minimize/maximize linear function with thousands of variables and hundreds of continuous and semi-continuous constraints.
Best regards,
Ahmed
Hi,
Would you be providing the algorithm that needs to be coded? I can help you develop MATLAB side of things or maybe even use Intel Math Kernel Library which is C++ based, and probably would be more or equally effective as the MATLAB solution, as it has in-built parallelization support and is optimized on Intel chips, and is cheaper. But I can't help you with devising constraint optimization algorithms. That has to come form you.
If this is what you are looking for, feel free to check my profile and my credentials.
Regards,
Nadir
I'm an information Systems Engineer with quite a mathematics, optimisation and artificial intelligence training in college.
I've done a varius optimisation and simulation projects that uses ai for finding a quality/optimum solution depending on the hardware limitations and the project Computing Complexity. Also i have knowlogde of parallel computing (hiperthreading, multinode clusters) to meet the performance requirements of this project.
Although i don't know much about Matlab, i do now about Java and C programming, and for this project i would suggest the latter if GUI is not needed.
Regards.
Hi,
An ASP.NET,c#,vb ,SqlServer,JQuery,Javascript expert here. Please feel free to discuss the project with me so that i can wrap it up in a timely manner as per your requirements.
I would like to have a detailed document of your requirements so that we can discuss the each and every point in details.
Thanks,
Murtaza
I am a professional MATLAB user. I have experience of doing optimization using Matlab and I have done it before for few time varying dynamic systems. Working on this project will be very interesting for me. Please contact me for any queries or details…
Regards
Bilal
Hello [redwafer]
you have strong both the personal story and the Project.
Our offer is based on our previous Quantitative modelling, incl. MATLAB/Octave constrained modelling and options-pricing imperfections scanners.
We love real-time [we work down to micro-seconds in code-execution optimisations]
we love trading systems [we have spent about hundred man*years in FX / Money Markets]
we love quantitative models [we have spent many projects on model validations and optimisations]
So
we know how,
we can,
we do
Hourly fee apply.
So the Bid covers a block of 100 hours on [SoW]-efforts and Customer-facing time.
Best regards
Jana, FxSoftwareMQL
I can give you the best base on your requirement.
The project is the real-time optimization of an options portfolio. The project will require the minimization, maximization, and constraint or 'best compromise' of thousands of data points. The variables consist of profit/loss, yield, delta, and vega. The program will minimize certain values, at certain points
Hi,
How you will input the data, is it on a spreadsheet/excel document or do you want us to write an sdk that can be used to dynamically input data to the application?
We can develop the fastest possible algorithms in matlab, then implement them using C# .net so they can be used by you or your clients. We will supply both the matlab work files and the complete source code.
Regards,
Tom
I did my PhD in global optimization algorithms and a solid experience in constrained nolinear systems. Also, I have been quite familiar with option pricing and greeks .
Greetings from South Africa, redwafer! :-)
I am using my bid as a way of making contact.
You should know that I solved a non-linear optimisation problem in University using rainfall figures, dam capacities, hydro-electric power generation capacities etc. using MatLab in my final year at University.
I also later programmed the Black-Scholes options pricing formula into some software at the first company I worked for.
I am probably you guy, just very busy right now, unfortunately.
My present contract may or may not end in May 2014. Please contact me about my availability.
My best wishes for your success in your project accompany this bid! :-)
Warm regards,
Steven Swart.
