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FE/FA 800 Selected Projects
Below is the list of FE/FA 800 Selected Projects:
2024 Fall
Application of Reinforcement Learning in Financial Trading and Execution
Design of Reinforcement Learning Control in Agent-Based Modeling: An Investigation of Systemic Risks in Interbank Lending Market
Market Liquidity and Financial Models: Bridging the Gap with Enhanced Option Pricing Techniques
Determining Optimal Withdrawal Rates From a Retirement Portfolio
A Sine Expansion on the Explicit Formula for Option-Implied Quantiles
StratFusion: Multi-Strategy Stock and Option Trading System
From Volatility to Profits: A GARCH and Random Forest-Driven Trading Framework
Basel III Regulation and Its Impact on Banking Institutions in the United States
2024 Spring
Modeling Market Liquidity and Financial Regulations in Times of Stress
Bitcoin Trading and Methodologies: Improving the Position Bot
Cryptocurrency Market-making: Improving Grid Trading Strategies in Bitcoin
Artificial Intelligence And The Trader's Touch: A Comparative Study
Systematic Risk & Copula CoVaR
2023 Fall
Trading and Arbitrage Opportunities in Cryptocurrencies
Corporate Bond Pricing and Trading: Predicting Future Prices and Machine Learning
Portfolio Optimization with Commodities for Enhanced Risk-Adjusted Returns
2023 Spring
Data Augmentation and Scenario Generation in QWIM
Robo-Risk and Copula CoVaR of SPY
Market Regimes in Quantitative Wealth and Investment Management
Predicting WTI Crude Oil Returns Using Machine Learning: A Comparative Study of Ensemble and Deep Learning Models
Network and Clustering-based Portfolio Optimization: Enhancing Risk-Adjusted Performance through Diversification
2022 Fall
High Frequency Credit Rating
Trading Strategies using Reinforcement Learning
Robo-risk and Copula CoVaR of SPY
Analyzing the Relationship Between ESG Scores and their Accompanying Data Variables
Option Smile Volatility and Implied Probabilities: Implications of Concavity in IV Curves
A MACHINE LEARNING PREDICTION OF THE PATH OF ECONOMIC RECESSIONS
2022 Spring
FORECASTING OF TIME SERIES IN QWIM
Effect of Jump Diffusion Price Dynamics on European S&P 500 Index Options
Covid-19 pandemic impact on the equities market in the US
Portfolio Construction and Management in QWIM
Deep Hedging
2021 Fall
Identifying Risk in the Banking Sector with Sentiment Analysis
SABR volatility surface fitting (model calibration) using Artificial Neural Network
Network Analysis and Clustering
Scenario Generation and Data Augmentation in Quantitative Wealth and Investment Management
Forecasting of Time Series in Quantitative Wealth and Investment Management using an Ensemble Method Approach
2021 Spring
Twitter Sentiment Analysis Forecasting Default Probabilities
Combining (deep) Reinforcement Learning and Goals Based Investing
Calibrating the SABR model with an Artificial Neural Network
Risk Analyzer: A Guidance Tool and Methodology to Measure and Forecast Financial Equity Risk and Portfolio Capital Requirement
Forecasting Time Series in Portfolio Management
Combinations of Deep Learning and Statistical Models for Financial Time Series Forecasting
2020 Fall
Implied Volatility and Corporate Earnings
Computing High Dimensional Systemic Risk Measures with Machine Learning
2020 Spring
High Frequency Default Forecasting Model
Effective Testing for Investment Strategies and Portfolios in Quantitative Wealth and Investment Management
Applications of Machine Learning in ESG-Based Investing
The impact of macroeconomic indicators on the stock market using statistical and deep learning methods
Computing High Dimensional Systemic Risk Measures with Machine Learning
Using market regimes, change-points and anomaly detection in QWIM
Machine Learning Applications in Empirical Asset Pricing
The Impact of Macroeconomic Indicators on The Stock Market Using Statistical and Deep Learning Methods
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
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
Jump Detection and Hawkes Processes
CREDIT RATING PREDICTION USING MACHINE LEARNING TECHNIQUES
Computational Semantics in Financial Services
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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