This is a list of potential projects that have not been started. Potential applicants viewing this page are encouraged to mention in their application a project they would like to lead or work on.

Project Ideas

Alpha Modeling

• Using real-world data to predict stock price action to create a long/short portfolio.
• Example: Building a model utilizing Bureau of Transportation flight statistics to predict stock prices to build a long/short portfolio (credit: Quant SC)

Fundamental Factor Modeling

• Analyzing fundamental factors to create a long/short portfolio.
• Example: Using a neural network to train an alpha model with 24 fundamental factors (credit: MFM Winter 2021 Workshop Team 4)

Quantitative Sports Betting

• Exploit inefficiencies (arbitrage) or develop risk management techniques (hedging) in sports betting markets.

Neural Networks for Stock Prediction

• Example: LSTM in stock prediction and quantitative trading (credit: Zou, Qu)
• Example: Convolutional neural networks for stock trading (credit: Siripurapu)
• Example: Stock price prediction using LSTM, RNN, and CNN sliding window model (credit: Selvin, Vinayakumar, Gopalakrishnan, Menon, Soman)

Project Subject Areas

• Portfolio Construction/Optimization
• Derivative Pricing: Volatility modeling, pricing exotics, etc.
• Trading Strategies: Momentum trading, trend following, statistical arbitrage, news-driven trading, market making, etc.
• Machine Learning: Time series forecasting
• Market Microstructure Research