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.
