This is a summary of links featured on Quantocracy on Sunday, 12/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Serverless architecture for crypto trading [Gautier Marti]I recently asked on LinkedIn about advice and opinions on infrastructure for collecting, storing, processing, and storing back derived data (features, signals) for some simple mid freq / stat arb trading strategies. I did not expect to receive so much feedback about infrastructure for trading data pipelines: Many opinions on infra I am currently using a very simple stack based on serverless AWS
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MOVE Index and SPX returns [Only VIX]MOVE index (Merrill Lynch Option Volatility Estimate) was developed by Merrill Lynch to measure implied volatility of US Treasury markets. ML became a part of Bank of America in 2008, and then indexes were sold to ICE in 2019, so now the index is called "ICE BofAML MOVE Index" The index is a yield-curve weighted average of normalized implied volatility of 30-day options. The index has