[SOLVED] FINT B337F Autumn 2024 Assignment Java

FINT B337F (Autumn 2024) Assignment

Weighting: 40% of final course score

Deadline: Nov 18, 2024

In this individual assignment, you need to develop an algorithm to trade a given stock/index that can demonstrate positive return and an outperformance versus its buy and hold return over a defined period of time and aim to achieve comparable results in the future. By the deadline, submit a complete project report (max 1000 words) with the topics below.

Market Microstructure Analysis: (10 marks)

l  Stocks/indices analysed

l  Stock/index chosen

l  Opportunity (Supply/Demand imbalance) identified

l  Opportunity explained (why it exists)

Design: (10 marks)

l  Strategies defined

l  Paper portfolio size (in $ terms) assumed

l  Turnover assumptions (on an annual basis in relation to portfolio size)

l  Trading costs assumptions (in % terms)

l  Market impact (implementation shortfalls) assumptions (in % terms)

l  Expected outperformance vs buy and hold over a period of time

l  Expected maximum underperformance (peak to trough) at any point in time

Implementation: (10 marks)

l  Source code

l  Types of data used

l  Period of data used

l  In sample (training) and out of sample (testing) period chosen

Risk Management: (5 marks)

l  Possible human interventions

l  Risk management policies

Evaluation: (5 marks)

l  In sample versus out of sample results

l  Turnover assumed vs incurred

l  Maximum underperformance assumed vs incurred

l  Risk identified and proposed fine-tuning

After submitting your report, you will be required to give an oral presentation in English to authenticate your  work. Please ensure that you upload your PowerPoint file to the Online Learning Environment (OLE) before the presentation date. Following your presentation, there will be a question and answer (Q&A) session. You will be informed of the presentation date in due course.