volatility-harvesting

Application based on the paper The Statistics of Statistical Arbitrage by Robert Fernholz. The application monitors market prices and periodically emits position-intents to kafka. Unlike the linked paper, the application creates a net portfolio directly rather than constructing two portfolios (one with net-long exposure and one with net-short exposure). This modification reduces trading substantially, and allows for considerable "internal" leverage as the unlevered version usually trades less than 1% of the committed capital per day.