Our program actively invites academic and industry visitors to supervise students in cutting-edge research. 

Project highlights

Characteristics and Forecastability of Microstructure Features of Commodity Futures Contracts

This project studies the intraday and daily features of two key market microstructure variables: (realized) volatility and bid-ask spread, focusing specifically on the commodity futures markets in China. For the bid-ask spread analysis, there is an emphasis on the intraday profiles of the spread and measuring the deviation statistics of realized bid-ask spreads from the profile. For volatility analysis, it looks at both the intraday profiles of volatility as well as a forecasting model for daily volatility forecasting. Studies are conducted on the temporal structure of volatility based on scaling analysis.

CTA Strategy Study with Kriging

This project focuses on the basic ideas of CTAs as a group of strategies for financial and commodity futures, in particular using technical signals to trade futures contracts. The team studies Kriging, a technique that can be useful when smoothing is required in analyzing time series data such as price and trading volume. The team looks at applying Kriging to building technical signals to trade commodity futures contracts in China.

Skew Arbitrage Strategies for Listed Options
This project focuses on understanding the curvature dynamics of a list option chain. The team designs and back-tests a strategy that is based on the "curving up" of option contracts as expiration approaches. First, the team uses tick-level data to build implied volatility curves for options of four expiration terms; secondly, the team studies the "skew" of the curves and its evolution with time, especially as time approaches expiration; thirdly, the team designs a strategy that "arbitrages" the "curving up" phenomenon.