Assigned: | Wednesday March 6 |
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Proposal Due: | Monday April 8 (in canvas) |
Deadline: | Thursday May 2, 11:59pm (last day of reading period for Yale College) |
You must get your project approved by April 8th. Submit your proposal in Canvas. Submit your project on the zoo as hw 6.
As stated in the syllabus,
Each student will complete a final project comprising an automated decision system in a domain of interest. The assumption is that the student will use one of the techniques discussed in the course, and implement the system in Python. The instructor will provide a list of suggested topics, as well as entertain original proposals. Students may work in groups. The expectation is that a group project should have more substance than an individual project.
Example: Create a risk management system for equity portfolios. Given a portfolio of US or international stocks, across the capital spectrum (large, mid, small), create a system that will calculate a 5 day value at risk (VAR) at the 95% level. Also, perform stress tests and scenario analyses using both historical data and prospective scenarios. For international stocks, include foreign exchange (FX) risk analysis. The system should produce a summary heat map analysis (Green, Yellow, Red) indicating the risk level of the portfolio. Extra credit: if the portfolio is in the red range, the system can suggest trades that would mitigate the risk.