Dear alll!
#JonCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
#JonCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
❤2
Dear all! Today we are meeting at 17:00 as usual ☺️
My apologies for not letting you know in advance 🙏
My apologies for not letting you know in advance 🙏
❤3
Dear all,
We are approaching the end of John C.Hull and it’s time to vote for the next book. Pease, bear in mind that I plan to read all of them. We are voting for the next reading.
I suggest we can learn one of those:
1. Dynamic hedging by Nassim Taleb
2. IR models by Mercurio Brigo
3. Econophysics by Yu.M.Romanovsky
4. Behavioural finance explained and applied, my own research and course (investors behaviour explained)
5. Derivatives gone bad, my own reserch and course (financial crimes and defaults investigations explained)
The poll is opened till the end of October 😌
We are approaching the end of John C.Hull and it’s time to vote for the next book. Pease, bear in mind that I plan to read all of them. We are voting for the next reading.
I suggest we can learn one of those:
1. Dynamic hedging by Nassim Taleb
2. IR models by Mercurio Brigo
3. Econophysics by Yu.M.Romanovsky
4. Behavioural finance explained and applied, my own research and course (investors behaviour explained)
5. Derivatives gone bad, my own reserch and course (financial crimes and defaults investigations explained)
The poll is opened till the end of October 😌
❤1
What shall we do after we complete John C.Hull’s book?
Anonymous Poll
37%
Options! I chose dynamic hedging
12%
More maths! IR Models, please
16%
Econophysics? What’s this? I want to try!
19%
Behavioural finance, I want less math for now
16%
Crimes and investigations, mmm…
❤2
Dear alll!
#JonCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
#JonCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
❤1
Dear all! Tomorrow we are meeting at 17:00 as usual ☺️
We will be having a small case study on structured bonds at the beginning of the webinar.
We will be having a small case study on structured bonds at the beginning of the webinar.
Dear HSE and SPSU students!
In the near future, you will be able to see my topics in the general lists of topics for projects at СПБГУ and topics for term papers and master’s theses at ВШЭ. For the channel audience, I am publishing the topics in advance. You can ask clarifying questions about the topics.
For those passionate about science! You can find partners for writing a research paper. As you can see, the topics are broad, so teamwork is possible, where each person works on their own thesis or project, and everyone together writes one scientific article.
—TOPICS— —HSE— —SPbSU—
1. Topic: Analysis and modeling of medium-term option strategies in the volatile market.
Description: Analysis of risks and construction of trading strategies in the direction of “торговля волатильностью”. I suggest considering the American stock market; students’ suggestions on markets, instruments, and strategies are welcome. Important: real-time options data is available, but history is limited to free downloads. Possible short project on available data and long-term project with setting up price parsing.
2. Topic: Analysis of the applicability models of oil prices.
Description: A large study within which we identify and improve predictive models for various instruments of the oil market and forecasting horizons. The research has been going on for several years and will continue for a long time, as a single ideal model for the oil market has not yet been created. As one of the tasks, we can consider a model that predicts the transition from contango to backwardation in the oil market. There is sufficient data for predictive tasks.
3. Topic: Modeling of riding the yield curve strategy over various terms and curves
Description: Analysis of approaches to managing trading strategies that utilize the shape of the yield curve.
4. Topic: Study of correlations of credit and market risk (term structure of interest rates).
Description: Research on correlations between factors of credit and market risks, for example, studying the dependence of companies’ credit ratings on oil prices, interest rates, exchange rates. In general, a simple linear dependence is absent; nevertheless, it is obvious that the Russian economy and individual companies depend on market factors, as well as on macro and micro economic factors. The task is to isolate precisely the market component.
5. Topic: Trading stocks of subsidized companies
Description: For some business areas, there is a stable practice of subsidizing at the expense of the federal budget (for example, the Agro sector). In the event of a negative scenario (for example, a flood), sometimes the decline in the company’s market value does not reflect future government assistance. The task is to identify such companies and conditions in which the probability of providing assistance is significant.
6. Topic: Equity trading strategies - fundamentals vs. alternative data analysis
Description: Formation of a portfolio taking into account alternative data (news, marketing, advertising campaigns, social networks). We assume that the valuation of a company and the value of its stocks in the long term is determined by financial indicators, but in the short term is sensitive to news, advertising, and informational noise. We determine arbitrage opportunities and the dynamics of the effect.
7. Topic: Application of Kelly criterion to Portfolio Management.
Description: ML based model, back testing, validation.
8. Topic: Utility function on real estate market
Description: A large study. We collect data to build a model of consumer preferences in the real estate market (some data is available, some needs to be collected). A complex practice-oriented task, includes market research and segmentation, analysis of market participants, etc. Suitable for those passionate about the topic, as it is labor-intensive.
9. Topic: Finding a system of differential equations describing the flow, outflows and renewal of customer funds between accounts.
In the near future, you will be able to see my topics in the general lists of topics for projects at СПБГУ and topics for term papers and master’s theses at ВШЭ. For the channel audience, I am publishing the topics in advance. You can ask clarifying questions about the topics.
For those passionate about science! You can find partners for writing a research paper. As you can see, the topics are broad, so teamwork is possible, where each person works on their own thesis or project, and everyone together writes one scientific article.
—TOPICS— —HSE— —SPbSU—
1. Topic: Analysis and modeling of medium-term option strategies in the volatile market.
Description: Analysis of risks and construction of trading strategies in the direction of “торговля волатильностью”. I suggest considering the American stock market; students’ suggestions on markets, instruments, and strategies are welcome. Important: real-time options data is available, but history is limited to free downloads. Possible short project on available data and long-term project with setting up price parsing.
2. Topic: Analysis of the applicability models of oil prices.
Description: A large study within which we identify and improve predictive models for various instruments of the oil market and forecasting horizons. The research has been going on for several years and will continue for a long time, as a single ideal model for the oil market has not yet been created. As one of the tasks, we can consider a model that predicts the transition from contango to backwardation in the oil market. There is sufficient data for predictive tasks.
3. Topic: Modeling of riding the yield curve strategy over various terms and curves
Description: Analysis of approaches to managing trading strategies that utilize the shape of the yield curve.
4. Topic: Study of correlations of credit and market risk (term structure of interest rates).
Description: Research on correlations between factors of credit and market risks, for example, studying the dependence of companies’ credit ratings on oil prices, interest rates, exchange rates. In general, a simple linear dependence is absent; nevertheless, it is obvious that the Russian economy and individual companies depend on market factors, as well as on macro and micro economic factors. The task is to isolate precisely the market component.
5. Topic: Trading stocks of subsidized companies
Description: For some business areas, there is a stable practice of subsidizing at the expense of the federal budget (for example, the Agro sector). In the event of a negative scenario (for example, a flood), sometimes the decline in the company’s market value does not reflect future government assistance. The task is to identify such companies and conditions in which the probability of providing assistance is significant.
6. Topic: Equity trading strategies - fundamentals vs. alternative data analysis
Description: Formation of a portfolio taking into account alternative data (news, marketing, advertising campaigns, social networks). We assume that the valuation of a company and the value of its stocks in the long term is determined by financial indicators, but in the short term is sensitive to news, advertising, and informational noise. We determine arbitrage opportunities and the dynamics of the effect.
7. Topic: Application of Kelly criterion to Portfolio Management.
Description: ML based model, back testing, validation.
8. Topic: Utility function on real estate market
Description: A large study. We collect data to build a model of consumer preferences in the real estate market (some data is available, some needs to be collected). A complex practice-oriented task, includes market research and segmentation, analysis of market participants, etc. Suitable for those passionate about the topic, as it is labor-intensive.
9. Topic: Finding a system of differential equations describing the flow, outflows and renewal of customer funds between accounts.
👍1
Description: Description of the movement of client funds in a bank using a system of differential equations. Modeling of behavioral effects.
10. Topic: Financial crimes predictors
Description: Modeling of red flags indicating the unreliability of a financial company (reporting, media publications, information on government agency websites, advertising) - the result of long-term work could be an integral model, the result of a semester - a prototype of one of the modules of the integral model.
11. Topic: Identifying hidden ESG risks
Description: A large study on identifying risks associated with inefficient management, negative impact of natural and social factors. We separately highlight three directions: management (for example, the presence of a bonus system that provokes risky behavior), social (poor working conditions and high turnover), natural (fines for pollution, negative impact of climate change on business). You can choose one direction or several. Currently, the task of analyzing cadastral map data is in progress - we are studying the location of objects and their climate risks.
12. Topic: Modelling of Russian RE market: primary and secondary markets, subsidized mortgages, rent - purchase dynamics.
Description: A cascade of models describing the markets of commercial and residential real estate in Russia and the dynamic connection between them (primary and secondary sales market, rental market). In the extended version, the cascade of models also describes the model of buyer preferences, price drivers, market segmentation, and development prospects of individual locations. Separately within the cascade, the commercial real estate market is considered. There are many models, the task is voluminous, you can choose a model according to your abilities and interests.
10. Topic: Financial crimes predictors
Description: Modeling of red flags indicating the unreliability of a financial company (reporting, media publications, information on government agency websites, advertising) - the result of long-term work could be an integral model, the result of a semester - a prototype of one of the modules of the integral model.
11. Topic: Identifying hidden ESG risks
Description: A large study on identifying risks associated with inefficient management, negative impact of natural and social factors. We separately highlight three directions: management (for example, the presence of a bonus system that provokes risky behavior), social (poor working conditions and high turnover), natural (fines for pollution, negative impact of climate change on business). You can choose one direction or several. Currently, the task of analyzing cadastral map data is in progress - we are studying the location of objects and their climate risks.
12. Topic: Modelling of Russian RE market: primary and secondary markets, subsidized mortgages, rent - purchase dynamics.
Description: A cascade of models describing the markets of commercial and residential real estate in Russia and the dynamic connection between them (primary and secondary sales market, rental market). In the extended version, the cascade of models also describes the model of buyer preferences, price drivers, market segmentation, and development prospects of individual locations. Separately within the cascade, the commercial real estate market is considered. There are many models, the task is voluminous, you can choose a model according to your abilities and interests.
👍1
Dear alll!
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
We will also look at a small case study with structured bonds.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
We will also look at a small case study with structured bonds.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
Dear alll!
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
We will also look at a small case study with structured bonds.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
❇️ Do we need to discuss future webinars opportunities? The poll? Or go as planned to the next chapter?
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
We will also look at a small case study with structured bonds.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
❇️ Do we need to discuss future webinars opportunities? The poll? Or go as planned to the next chapter?
❤1
🛑Dear students! My apologies 😟
I have to reschedule the meeting for the next Friday 😔
I have to reschedule the meeting for the next Friday 😔
😭8🐳1
Dear alll!
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
We will also look at a small case study with structured bonds.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
❇️ Do we need to discuss future webinars opportunities? The poll? Or go as planned to the next chapter?
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for 17:00 today.
We will also look at a small case study with structured bonds.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
❇️ Do we need to discuss future webinars opportunities? The poll? Or go as planned to the next chapter?
Forwarded from Rafael F
Table with lectures https://docs.google.com/spreadsheets/d/1kmYdw_NgqqLQzwmofmthuHdWBSXk2impfu0PbfKX2tc/edit?usp=sharing
Google Docs
Options and other stuff
🔥5🥰1
Options and other stuff pinned «Table with lectures https://docs.google.com/spreadsheets/d/1kmYdw_NgqqLQzwmofmthuHdWBSXk2impfu0PbfKX2tc/edit?usp=sharing»
Dear alll!
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for ⚠️16:30 ⚠️today.
30 minutes earlier that usual time.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
Chapter 32, IR Models
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for ⚠️16:30 ⚠️today.
30 minutes earlier that usual time.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
Chapter 32, IR Models
Dear alll!
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for ⚠️16:30 ⚠️today.
30 minutes earlier that usual time.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
Chapter 32, IR Models — to be continued
#JohnCHull@hunt4quant next chapter reading (in Russian) is scheduled for ⚠️16:30 ⚠️today.
30 minutes earlier that usual time.
The zoom is the same. See you !
https://us02web.zoom.us/j/933271498?pwd=MXBESlNEb2dCYmFtTFFZVjh5MVBJZz09
Chapter 32, IR Models — to be continued
Zoom
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Dear all, my apologies for not posting the message regarding the meeting. Is there anyone who is willing to join the webinar and check John C. Hull Chapter 33 and discuss the next book?
👍2