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Create POC for Neural Net to generate options pricing data #60

@laisee

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@laisee
  • build neural net based on BS, Binomial, Heston, Neural Net (gavin)

  • listen for published MM prices, calculate new model prices and check differences across PT products (gavin)

  • use Binance historical IV for common coins(BTC, ETC, ...) to train Neural Net model (gavin)

  • use PT IV historical IV for PT-only altcoin products to train Neural Net model (gavin, egor)

  • use correlations from Binance Perp price history to add skew factor for nueral net price predictions e.g. Coin XXXX is highly correlated to ETH means use Skew observed for ETH & apply to XXXX price surface (gavin)

  • report on differences and check for gaps, drop-=outs by MM, jumps in price/IV (gavin)

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