Bloomberg testing use of image recognition in volatility trading

Computers could be used to spot kinks in volatility surfaces

Focus on credit
The human eye "cannot accurately detect arbitrage" in a vol surface, Bloomberg argues

Researchers at Bloomberg are exploring ways to apply an image-recognition technique used by firms such as Facebook and Google to options and volatility trading.

The approach – employing machine-learning technology known as convolutional neural networks – could help traders identify arbitrage opportunities more efficiently, the firm thinks.

Their idea is to use the technology to scan for anomalies in the three-dimensional plots known as volatility surfaces used in the industry to show time to

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: