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Seminar Empirical Analysis of Stock Markets

Seminar

taught by Prof. Dr. S. Perminov & Mr. K. Andreyev (Beneficious Investment Management)

The seminar will take place every second Friday from 09:00 - 11:00 o'clock on the following dates:

Friday, 21.10.2016 (HS 1036 KG I)
Friday, 04.11.2016 (HS 1036 KG I)
Friday, 18.11.2016 (HS 1036 KG I)
Friday, 02.12.2016 (HS 1036 KG I)
Friday, 16.12.2016 (HS 1036 KG I)
Friday, 13.01.2017 (R4 Peterhof)
Friday, 27.01.2017 (HS 1036 KG I)
Friday, 10.02.2017 (HS 1036 KG I)


The course accounts for 6 ETCS.

 

Seminar Concept


This seminar series is structured as a continuous research project.  Since a seminar is anticipated to be offered every semester, its design provides flexibility for students in organizing and planning their research. A student can select a financial research topic from a list. A grade will be issued if and when the student will have delivered to the seminar’s requirements prior to a grading deadline for the semester. Otherwise, the grade would be issued during the next semester upon completion of deliverables.

Students are expected to run their empirical research, including strategy backtests, in Quantopian platform.   For more information about Quantopian see https://www.quantopian.com/learn . Students are expected to deliver:

  • a write-up of the research topic (e.g. a market phenomenon)
  • calculations and backtests supporting the write-up, in a form of Quantopian research notebooks and algorithms (compilable and documented code)
  • presentation summarizing the research findings.

To have a smooth introduction into a Quantopian environment students are recommended to study tutorials and relevant lectures prepared by Quantopian. As this is a continuous seminar which, hopefully, will result in accumulation of both methods and findings, students are advised to as much as possible build on previous research done by other students, including documents, research notebooks, algorithms and project notes. This will facilitate a further knowledge accumulation. Students will communicate online and offline with the project supervisors (Beneficious Investment Management) and other students on project-related issues.  



Current list of research topics

 

  •     Determining the relationship between news sentiment and stock momentum
  •     Is consistent intraday growth an indicator for strong momentum?
  •     Is early intraday overreaction/recovery to pre-market negative news a stable pattern?
  •     Target price consensus as a leading indicator for selected big-cap stocks.
  •     What are the conditions for a trading corridor to become reliable?
  •     What are the conditions for a pre-market rally to take place?
  •     What are the conditions for Mondays to become bearish?
  •     How to participate in mid-day rebound and overnight growth?
  •     How to trade late morning weakness?
  •     What are predictive capabilities of stock short/covering?
  •     Overnight stock appreciation - determine applicability and success factors
  •     Sentiment of components as a leading indicator for S&P 500

 

 

Registration

The number of participants for this seminar is limited. Interested students are asked to register via email

not later than September 30, 2016

to our secretariat. Please also state your course of studies, number of terms, and attach a transcript (Leistungsübersicht) there.

 

The lecture is open for M.Sc. Economics, M.Sc. VWL as well as B.Sc. and M.Sc. Mathematics.

In M.Sc. Economics, the course can be credited in the profile "Finance".

In M.Sc. VWL, the course can be credited for Accounting, Finance, and Taxation (new examination regulations, valid from winter term 2014/2015)

For students of B.Sc. or M.Sc. Mathematics (especially within the special profile "Finanzmathematik" of the latter), the seminar can be credited as an elective (in economics).

 Should you have further questions, please contact Mr. Umarov.

Prerequisites

For the technical analysis as well as the preparation of the final presentations some basic knowledge in appropriate computer programs (Excel, R or similar software packages).

Further a certain level of experience with stocks, options, and other assets is expected which can be acquired, for example, in the lecture Futures and Options.

 

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