Solicitation for Thesis Ideas

[UuxjKAMlqI]

I would like to solicit from any forum members or visitors ideas for a masters thesis in the subject of mathematical finance.

In addition, if you are a practitioner or academic who would like me to work on a problem for you, please message me for further discussion.

 

[Daniel Duffy]

I would like to solicit from any forum members or visitors ideas for a masters thesis in the subject of mathematical finance.

In addition, if you are a practitioner or academic who would like me to work on a problem for you, please message me for further discussion.

Do you want to do an MSc or are you offering your services to do an MSc for someone?

You seem to be asking two separate questions?

 

[Ken Abbott]

You're going to have to be a bit more specific. Are you looking for a time series/econometrics project or something in the PDE area?
Theoretical or practical/empirical? Markets-based? Fintech?

 

[UuxjKAMlqI]

Do you want to do an MSc or are you offering your services to do an MSc for someone?

You seem to be asking two separate questions?

I want to do a masters thesis. I would do that masters thesis, my own masters thesis done for my degree, on a problem that some practitioner or academic wants researched for himself.

You're going to have to be a bit more specific. Are you looking for a time series/econometrics project or something in the PDE area?
Theoretical or practical/empirical? Markets-based? Fintech?

I am more interested in a time series project. Ideally I would propose a modest theoretical innovation and test it empirically. Ultimately I must choose a project that will enhance my employment prospects for my desired job, which is devising quantitative investment or trading strategies.

 

[Daniel Duffy]

How much time is allotted for the thesis? Depending on the level of mathematical sophistication, I reckon it will take time to learn time series, Kalman etc. even before progressing to finance applications. An initial project estimation might be good.

And then of course, the hot topic ML.

 

[UuxjKAMlqI]

How much time is allotted for the thesis? Depending on the level of mathematical sophistication, I reckon it will take time to learn time series, Kalman etc. even before progressing to finance applications. An initial project estimation might be good.

And then of course, the hot topic ML.

I have approximately 200 days to complete the thesis. Therefore I can devote in the range of 1000 to 2000 hours. I would be interested in a problem involving ML as well.

 

[Daniel Duffy]

I have approximately 200 days to complete the thesis. Therefore I can devote in the range of 1000 to 2000 hours. I would be interested in a problem involving ML as well.

[1000, 2000] is a big spread. That's a couple of years down the road.

edit: I mean, it's like saying that I have 3K to spend, so what shall I do with it?
A better approach is to decide what your project is (scope it to concrete topic) and then estimate how many manhours are needed to execute the project.
One risk with projects is they get behind schedule, one day at a time, Work backwards from project goal at t = T to t = 0.

 

[UuxjKAMlqI]

[1000, 2000] is a big spread. That's a couple of years down the road.

edit: I mean, it's like saying that I have 3K to spend, so what shall I do with it?
A better approach is to decide what your project is (scope it to concrete topic) and then estimate how many manhours are needed to execute the project.
One risk with projects is they get behind schedule, one day at a time, Work backwards from project goal at t = T to t = 0.

Thank you for your seasoned advice. Now I must scope my project to a concrete topic. Suggestions from anyone are appreciated.

 

[Daniel Duffy]

Maybe it is a good idea to do some initial research to scope it to manageable proportions. There are lots of areas but you should make the final choice I feel. (aside: I supervised ~80 MSc finance theses in the last 10 years, most of them were 3-4 months. It is critical to do a doable project, get some results and on time I also was among other things a project manager/estimator (time costs money) so it's in the blood I suppose).
There's a lot of stuff on www.wilmott.com, for example.

Good luck. I am willing to have a look at your proposal if you wish.

 

[UuxjKAMlqI]

Maybe it is a good idea to do some initial research to scope it to manageable proportions. There are lots of areas but you must make the choice I feel. (aside: I supervised ~80 MSc finance theses in the last 10 years, most of them were 3-4 months. It is critical to do a doable project, get some results and on time I also was among other things a project manager/estimator (time costs money) so it's in the blood I suppose).
There's a lot of stuff on www.wilmott.com, for example.

Good luck. I am willing to have a look at your proposal if you wish.

Thank you. I may take you up on that offer. I will have a look at Wilmott and continue asking around for ideas.