Your term project should involve a systematic investment strategy. It is preferable if this strategy is demonstrated using data and analysis, but conceptual analyses are also acceptable. Examples of things you could explore are: ? Has COVID resulted in a “paradigm shift” in trading, and if so, how?
Does it impact how we think about systematic investing? What’s possible in Crypto?
What is likely to be the impact of increasing tech concentration in market indices?
Are there newer “alternative data” sources (crypto, social media, cargo patterns etc.) that provide value in their ability to predict returns?
Is there any relationship between current volatility and future returns in equity or currency markets?
Which (economic) indicators have exhibited a consistent influence on financial markets and what could explain this? Is it possible to blend such “lower frequency” data with higher frequency data like prices?
(How) and when does spread-based trading work and why? ? Are currencies driven by short-rates or the longer end of the yield curve? ? Engineer a system where you can describe the market conditions under which it would make and lose money. How would you position such a system for investors?
Does technical analysis work? I.e. Doji based systems, Bollinger bands, etc. ? How could one design a news-driven sentiment analysis system for trading individual equities or equity/currency/commodity indices?
Can you predict the inclusion or exclusion of stocks from indices? ? How does inclusion in ETFs impact the behavior and performance of stocks?
Is it possible to predict or capitalize on a “short squeeze” in stocks? In the past, students have also done interesting projects in a number of areas that typically “expand” on an assignment, such as testing pairs trading or volatility, on a larger scale, exploring and integrating currency strategies across multiple timeframes, behavior of markets around options expiration, and so on.
Creativity and exploration is highly encouraged.
