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Model ideas for high resolution CDS and equity data


New Member

I am looking into doing my master thesis on some type of allocation/algo trading strategy. I am writing it for a big pension asset manager who will be able to provide me with high resolution (tick level och a few second intervals) data on majow euity and CDS indicies (iTraxx/CDX/S&P etc).

I am nog reaching out for any sort of ideas of models or techniques that could be interesting to investigate. Initially we have though of something simliar to (http://www.smallake.kr/wp-content/uploads/2015/09/FULLTEXT01.pdf) that is a HMM. However given recent advances and the high density of data do you have any other suggestions that could be of interest? If supported by some type of academic paper this is a huge advantage!