Cornell Quant Fund 2022 Trading competition Options Case winner
Last updated May 4, 2026
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Python 82.9%
C++ 17.1%
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README
CQFTradingCompetition
Options Case:
Strategy 1
- implment py_vollib's implied volatility calulation
- grab Parameters for Black scholes
- use Black shcoles
- if Black scholes esimated price < market price
Results
Strategy 2
1. implment py_vollib's implied volatility calulation 2. implement Black scholes 3. if Delta < 0.4 && timetoexpiry - 10080 > 0 short that call 4. after 2 days of trading: buy 1000 units of underlying every minuteResults
Total Trades: Trades: 1106
