Individual Project Ideas

Multivariate Analysis

• Multivariate Regression 
• 4 tests of assumptions (normality, homoskedasticity,  line, serial correlation or area of volatility)
• pros: topic is easy to understand  
• cons: familiar with Excel, Stata or Gretl, not practical to use in the near future

Time Series

• AR and MA models
• cons: familiar with Stata and Gretl

Portfolio Optimization: Non Linear LP

• involving numerical methods for managing risks and return  
• pro: very user specific (Objective functions and constraints)
• cons: challenging to conceptualize through code

Portfolio Optimization: PCA and Factor Analysis

• for managing risks and return, groupings for regression  
• pro: familiar with the coding except for the eigenvalues
• cons: familiar with other statistical software, not practical for long term use

CRR vs BS functions

• CRR and BS for option pricing
• pros: biased over this, will use in the near future
• cons: have to review in detail

Monte Carlo Simulation: Option Pricing

•  
• pro: a fun idea
• cons: