Projects in Quantitative Finance

[Re. Wa.]

Dear fellow QuantNet members

What are good sources for finding projects [preferably with Python or R; at the moment of writing I can't program in C++] in quantitative finance and/or related areas?

Best regards,
Ra. Wa.

 

[Daniel Duffy]

Are you a reasonably good Python coder?. Can you design/translate algorithms into Python?

Black Scholes exact
Monte Carlo
a bit of Machine Learning
etc.

numpy, scipy?

 

[CrossGamma]

If you know some statistics / econometrics, then you could look into working with crypto data. The advantage is that most exchanges offer you free tick-data subscriptions as well as historical data. E.g. can you predict the coin ABC price in 5/15/30 min. based on some features that you design? Apart from working with the data itself, you also learn a bit about the infrastructure aspects (connectivity, persistence, ...). If you want to work with options data - Deribit has websocket connectivity and you could e.g. visualize and fit the live implied volatility smiles. Both projects will look good on your resume when applying to trading firms.

 

[Dimmesdale]

I am wondering whether Python suffices, or in other words, to focus on improving Python skills or to learn a bit C++ (perhaps superficially), which is better?

 

[Daniel Duffy]

I am wondering whether Python suffices, or in other words, to focus on improving Python skills or to learn a bit C++ (perhaps superficially), which is better?

two goals

1. learniing maths/algo
2. learning a language

what is important for you. With Python

a. using numpy, scipy out of the box.
b. using a bit of Python (user coding)
c. More extended Python.

learn a bit C++ perhaps superficially)
C++ is everything or nothing. It cannot be half done. Like a law of gravity.

 

[jarryds]

Dear fellow QuantNet members

What are good sources for finding projects [preferably with Python or R; at the moment of writing I can't program in C++] in quantitative finance and/or related areas?

Best regards,
Ra. Wa.

Really depends on what you are interested in. You can check out WSO forums - the discussions tend to be a little more technical.

Want to develop infrastructure? Build a financial database
Want to evaluate trading strategies and program a lot? Build a backtester in python
Interested in derivatives? Build a vol surface

 

[Re. Wa.]

I was hoping for a more guided project

 

[Daniel Duffy]

I was hoping for a more guided project

I recomend literature research based on reactions from people here.
The rest is up to you. In business, an employer would expect the same.


e.g. for starters

Option Pricing Models

Option Pricing Models are mathematical models that use certain variables to calculate the theoretical value of an option. The theoretical value of an

corporatefinanceinstitute.com

 

[jarryds]

I was hoping for a more guided project

Find a white paper that interests you and recreate the results using different data.

 

[Re. Wa.]

Alright, that seems like a good idea

 

[Daniel Duffy]

How's it going now?

 

[Re. Wa.]

How's it going now?

Dear Daniel J. Duffy,

Thank you very much for asking. Things are going very well. I recently applied for student positions at five different places, and I am thrilled to share that I have received offers from all five. Needless to say, I'm extremely happy about this outcome. However, there is one aspect that has been bothering me a little. I took a bit of a mathematical detour, focusing on (advanced) operations research, which does not have much to do with finance.

Nevertheless, I firmly believe that the skills and knowledge I acquired during my OR studies can be valuable in various contexts. While there may not be an immediate connection between OR and finance, I'm confident that my analytical and problem-solving abilities will serve me well in the field of finance.

Once again, thank you for your support and interest in my progress.

Best regards,
Ra. Wa.

 

[Daniel Duffy]

OR tends to discrete maths. Finite-dimensional space.
Many problems start life in infinite-dimensional space.

 

[SpencerAssiff]

Find a white paper that interests you and recreate the results using different data.

Any suggestions for reputable journals to read to find inspiration?

 

[jarryds]

Honestly no, I haven't been able to find a good news-like source of quanty papers. I have just found them by subject, for example - interested in option pricing? Check out the heavily referenced options pricing papers. You could probably use the quant subreddit to find exact papers - or utilize the search bar: quant finance {type of paper} reddit

 

[sangho]

Dear Daniel J. Duffy,

Thank you very much for asking. Things are going very well. I recently applied for student positions at five different places, and I am thrilled to share that I have received offers from all five. Needless to say, I'm extremely happy about this outcome. However, there is one aspect that has been bothering me a little. I took a bit of a mathematical detour, focusing on (advanced) operations research, which does not have much to do with finance.

Nevertheless, I firmly believe that the skills and knowledge I acquired during my OR studies can be valuable in various contexts. While there may not be an immediate connection between OR and finance, I'm confident that my analytical and problem-solving abilities will serve me well in the field of finance.

Once again, thank you for your support and interest in my progress.

Best regards,
Ra. Wa.

Hi, would you mind sharing your experience on how to land offers from doing the personal quant projects? Appreciate a lot