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FE 800 Selected Projects
Below is the list of FE/FA 800 Selected Projects:
2020 Spring
The Impact of Macroeconomic Indicators on The Stock Market Using Statistical and Deep Learning Methods
Applications of Machine Learning in ESG-Based Investing
High Frequency Default Forecasting
Machine Learning Applications in Empirical Asset Pricing
Using market regimes, change-points and anomaly detection for Investment Management
Computing High Dimensional Systemic Risk Measures with Machine Learning
Combining (deep) Reinforcement Learning and Goals Based Investing
2019 Fall
Hedging of Illiquid Assets Options with LSTM Neural Networks
The Behavioral Equilibrium Exchange Rate (BEER) Model
Microstructure Computational Model and Spoofing Strategies
Portfolio Construction Based on Wavelet Neural Network and Deep Reinforcement Learning
Feature Selection for Credit Rating
2019 Spring
2018 Fall
Robust Test of Processes Underlying Leveraged Exchange Traded Funds
Jump Diffusion Model
Multi-asset Portfolio Management
Hybrid Credit Rating Model
Model Market Irrationality with Bitcoin and Other Cryptocurrencies
2018 Spring
Deep Learning Applications in ETF --Volatility Pattern Recognition
Forecasting Corporate Credit Rating using Artifical Neural Network
Fund Reconstruction Using Double Sampling Kalman Filtering
2017 Fall
Liquidity Risk & Asset Movements During Financial Events
Bond Relative-Value Investing with Machine Learning
Foreign Exchange Arbitrage
Market Volatility Transmission
2017 Spring
Visualization of Volatility Surface and Swaption Market Monitor
Relationship of Twitter Financial Sentiment to Stock Market Returns
Price Dynamics and Options Valuation for LETFs
Machine Learning Trading Indicators
2016 Fall
VIX Option Pricing with Stochastic Volatility and Jump Diffusion
Accenture Project: Quote/Conflict of Interest Analytic Engine
Garch Option Pricing and Volatility Scaling for Leveraged Exchange-Traded Funds
Robo Advisor on Emerging Market ETF
2016 Spring
Application of Estimating Volatility to the Modeling of EIA
Effects of Macroeconomic Factors on Brazilian Private Consumption
Options Valuation and Calibration for Leveraged Exchange-Traded Funds
Fixed Income Volatility Indices
Contingent Convertible Bonds: Assessment of Selected Pricing Models
2015 Fall
Credit Scoring Model
Dynamics of Stock Price: Reaction to Shocks
Predicting S&P500 Component
Exchange Rate Option Pricing
2015 Spring
Stock Market Sonification
Opportunities in Rare Events
Comparison of Power Laws and BGM Model
Customers Sentiment in Life Insurance Industry
Electricity Forward Pricing
Calibrating Heston Model
Copula Methods in CDO Tranche Dependence Structure
2014 Fall
Basel III, Expected Positive Exposure and Credit Valuation Adjustment
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