term futures trading system that was implemented, conditional to large
deviations in the realizedvolatilitysurface, to tactically hedge large net exposures. Designed to
operate on a different time scale ... while personally retaining intellectual property.
• Key areas of research related to how the realizedvolatilitysurface coupled with trend
development jointly inform an optimal reference frame. The result ... Margin Structure of Participants
• Retracements as a Function of the Changes in the RealizedVolatilitySurface and Time
• Intraportfolio Correlation and Position Sizing: Analysis of Impact on Returns and Sharpe