Andy Chung

Welcome!

Hi! I'm Andy, an incoming Econ + Stat/ML major at Carnegie Mellon University as part of the class of 2029+. Here you'll find my projects and frequently-requested resources. I'm interested in econometrics and building cool product, and I also dabble in financial markets.

My documentation of this journey is heavily inspired by Kyle Dickinson, a fellow CMU undergraduate whose Instagram may be accessed here.

Current + Completed Projects

Equity Options Surface Visualization Tool

Goal: Visualize implied volatility by strike and expiration

Tech Used: Python, Pandas, Scikit-learn, Matplotlib, Alpaca

Status: Actively modeling surfaces & (attempting to) detect mispriced skews

Overnight Volatility Proxy

Goal: Estimate VIX movement overnight by using 24/7 options quotes

Tech Used: Python, Alpaca API, NumPy, QuantRocket, CBOE white papers!!!

Status: Operational. Works for all optionable equities/equity indices with 24/7 trading

Teen Consumer Sentiment Index

Goal: Use teen survey data collected across the Fed's 12th district as a proxy for regional economic health

Tech Used: R, Gretl, GForms, Pandas, Python

Status: Built v1.0 and threw myself face-first at econometrics. Overall, very rewarding

Overnight Drift Strategies

Goal: Analyze different strategies (leverage, volatility, etc.) to be employed algorithmically from US close to European open

Tech Used: Python, Alpaca API, NumPy, NY Fed Research!

Status: Welll..... lets just say there's a proof of concept...

Publications I'm Reading & Books I Love

The Giving Tree

Shel Silverstein

The Trading Game

Gary Stevenson

The Bond King

Mary Childs

The Overnight Drift

Federal Reserve Bank of New York

Fooled by Randomness

Nassim Taleb

Misbehaving

Richard Thaler

Best Loser Wins

Tom Hougaard

Liar's Poker

Michael Lewis

PG's Essays

Paul Graham, website here