Options and other stuff

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.

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