Abstract:Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a dailybasis; a concrete case is the so-called Mid-Curve Calendar Spread (MCCS). The actual procedure in place is full of pitfalls and a more systematic approach where more information at hand is crossed and aggregated to find good trading picks can be highly useful and undoubtedly increase the trader's productivity. Therefore, in this work we propose an MCCS Recommendation System based on a stacking approach… Show more
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