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Beginner Project

Hi all,

For some background, I'm a final-year UK maths undergrad, with good grades, recently accepted on a Financial Maths MSc programme. I've played around with C++ on HackerRank and a few miscellaneous Python projects, but I'm not sure how to take things further and where to start with some quant-related projects.

An outline of finance topics with which I'm familiar:
  • European call and put options, contingent claims, some exotic options and arbitrage.
  • (Geometric) Brownian motion, Black-Scholes pricing.
  • Volatility estimation, implied volatility. Monte Carlo pricing.
  • Itô integral and Itô formula
  • Use of stochastic differential equations to model interest rates

I'm particularly interested in pursuing applications of machine learning to finance, and I'd really just like something I can put some time into for fun.

Thanks to anyone who can offer some advice.
 
I come from a heavy programming and analytical background but am newer in applying it to financials.

With that being said, I find Python to be preferable. There are a number of great modules for technical analysis, ML, ETL, broker APIs, and more.

Pandas DataFrames (and numpy) take some getting used to, but once you master that (scrubbing, sorting, resampling, etc), the ML parts will sort of slide into place (tensorflow, sklearn, fbprophet, etc).

As for a "starter project," I've come across some good articles on medium in regards to something like "python stock ml".
 

Daniel Duffy

C++ author, trainer
Some ML/finance projects at MSc level using Python, Python libraries and C++
You could try something similar, say Black Scholes 101 to learn the process. Much better than baboon derriere recognition.


 
Some ML/finance projects at MSc level using Python, Python libraries and C++
You could try something similar, say Black Scholes 101 to learn the process. Much better than baboon derriere recognition.


Agreed. BSM is a good one. I just dug though my bookmarks for this article: Tutorials - Introduction to Options - Options Pricing Black Scholes Merton Model - QuantConnect.com
 
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