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.
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