Neuberger sidesteps option gap risk using AI and credit card data

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Quants at Neuberger Berman Breton Hill have started using the machine learning technique random forest in the firm’s options-selling strategies to avoid fallout from big market jolts.

Rapid price moves triggered by earnings surprises are one of the biggest risks to the strategy, which mostly entails selling equity options, says Ray Carroll, chief investment officer of Neuberger Berman Breton Hill, NB’s quant group.

By running credit card data on the underlying names of its option holdings

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 print this content. Please contact [email protected] to find out more.

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

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]