Summer 2022

Student Research Opportunity

We are looking for student researcher(s) for a summer research project in statistical finance and investment strategies. The project will be related to time series forecasting and statistical machine learning, with applications to financial portfolio management. The project will either extend from previous papers, or comprise a new piece of original work, depending on the interest of the student. Students interested in either statistical research or financial portfolio construction are encouraged to apply. See below for further information.

Main Supervisors

Parley Yang (Academic Side) and Bobby Previti (Industrial Side)

Period and Location of the Project

There are no strict geographical restriction on where the student is, neither a set period of time. We are looking at around 8 weeks in the summer, depending on student's interests and coding abilities.

Brief Description of Project

We shall look at optimal combination of portfolio --- this could be, for example, hedged long on US equities, systematic options trading, macroeconomic predictions and forecasts and etc. We focus on low-frequency data --- data that are available mostly in public and are updated on a daily basis. We shall develop portfolio holding strategies on tradable assets, and by the end of the period, produce an industry-level report on such strategy. There is also a direction that the student articulate the research to a more academic side, for instance, on statistical learning and financial applications.

References

Key Literature

  • Adaptive Learning on Time Series: Method and Financial Applications
  • Using the yield curve to forecast economic growth

    • Background

  • Analysis of Financial Time Series
  • The Elements of Statistical Learning
  • Applied Statistics Lecture Notes

    • Extensions

  • Nonlinear Time Series Analysis
  • Robust Statistics

    • How to Apply

    Students who are interested shall submit their CV, transcripts, and a sample of their python script (and/or Jupyter Notebook) to the following email: oprg.enquire@gmail.com We check the applications on a rolling basis. The funded and recommended deadline is 25 Februrary. We are likely to hold the first round interview at the end of January.

    Screening Process and Timeline

    Students who applied will be considered against their past experience, in particular, their coding ability. There may be emails querying for further materials for clarification. Candidates could be interviewed on zoom by two members of our team. If succesful, they will be given offers conditional on their completion of an exercise. This year's exercise is still in development, please refer to the previous year's archive for reference: click here