The mission: Create a mathematical model that predicts the arrival rates of small trades and large trades in ES Mini Futures Markets for both day and night

Futures play an important role in financial markets. At the very basic level, they allow businesses to lock in a price on a future date for the purchase/sale of assets that are vital to their operations (e.g. commodities such as crude oil).While the interest in the use of these contracts has increased greatly over time, so has the interest in predicting the rate of occurrence of trades involving both small and large numbers of contracts.

A mathematical model that predicts the real time arrival rate of small and large trades could be used to generate profit for any financing institution. Another large benefit of creating an arrival process model is can be used to predict the imbalance of buy and sell orders in the market place which can lead to the derivation an optimal asset liquidation strategy in the marketplace.


Ryan Sharma – BS Systems Engineering
Minors in Computer Science & Finance