FNCE 491 Python Programming with App. in Fin. Sample topics on Final Projects

Final group/individual project (100 pts): Fall 2023

Stage one: 10 pts Due: 11/13/2023

Select one topic that you are interested in, either from the sample topics listed below or from your previous corporate/investment/modeling classes. Write a preliminary proposal (at most one page) including the main question you want to investigate, hypothesis, and possible data you need. Talk to the professor about your proposal during the time slot you have picked on Canvas. Related structured data will be provided upon request (limited to the optional topics listed as follows; students should prepare the data for other topics not in the list, or check with professor for the availability).

Stage two: 90 pts Due: 12/13/2023

Using Python programming to implement your project and submit a report and the Python code on Canvas. The report should include your main question, hypothesis, data description, analysis and findings, and conclusion. There is no page limits as long as your report is clearly organized.

Here you will find a list of sample topics on a final project, though you should not feel constrained at all about these sample ideas. You can (and should) come up with your own idea. I will be available to work with you on any issue you will be facing during the process. Please note none of the data provided in the class should be distributed to outside due to the data vendor purchasing agreement!

General topic: intraday stock data (real-time 1 minute interval intraday data is available on Bloomberg and historical 1 second interval intraday data will be provided)

1. Intraday momentum trading strategy: first half hour return predicts the last half hour return? Or try other time intervals. (use “intraday momentum” paper as a reference)

2. Probability of information measure using intraday data: VPIN

General topic: derivatives

1. Derivatives Pricing:

Pick one method: Monte Carlo simulation or Binomial Tree.

A fixed-income financial contract will be provided and your job is to estimate the price for the contract using simulation. For example: “Reverse Exchangeable Notes Linked to the Least Performing Common Stock in a Basket of Common Stocks”

Or, you can decide one derivative product by yourself and conduct valuation upon approval of the instructor.

2. Investigate the profits of trading on uncertainty prior to FOMC announcement using option data (HW5 – straddle portfolio, would be one special example)

General topic: predictive analysis using machine-learning techniques (Lectures 12, 13, and 14)

1. ML and asset pricing models: construct a list of variables (at least 20) from structured data to predict stock returns using ML technique. Note: the predictor data will be provided upon request.

Other topics from your previous classes: for example MSFI434, MSFI 435 or MSFI 460, can also be used as long as you are interested in. Please email me at [email protected] if you have any question (by