Financial Market Research- Trading Models

This project will be an ongoing research project where you will research, develop, test and assess systematic (Rules-Based) trading approaches in multiple asset classes of Financial markets, including.

- Interest rates( Cash, Futures, Curves, Convexity, Risk premia etc)

- Foreign Exchange

- Equity Indices( Futures)

- Commodities

You will also develop software tools and processes along the way for handling the different tasks.

All material will be covered by a non-disclosure agreement, and all ip-rights will be retained by me.

There will be different flows of gathering the methods/ models to be tested

- Research/ Data -Mining of the public domain(forums, chat boards, websites etc.)

- testing of ideas from articles/ books etc.

- traditional macro economic models

- pure statistical processing of data (Data-mining)

- original ideas from yourself or from me

The successful candidate will understand trading and the concept of trading models(rules based trading), descriptive statistics and performance evaluation( profit/ loss, Sharpe ratios, Max drawdown etc.), and have demonstrable skill with relevant testing software.

You will have programming ability, although the programming will be mainly in a supportive role, rather than the core of the project.

The testing process will be similar for most cases, and broadly will resemble the below.

- Conceptualization of Approach or strategy and Conversion to logical rules

- Summary report of approach for prioritization

- Gathering of relevant data (time-series) for test. (In this process I can help to provide the relevant data, and set up access to relevant providers, where necessary)

- scripting/programming of rules into test platform

- Thorough Test of rules on a portfolio of securities (about 50-100) or special markets targeted

- Delivery of relevant test report

Work will be compensated on a running basis, essentially / hour.

Except for the first batch of work which will be evaluated based on your success with 5 strategies, for which 10 hours will be allocated.

Your bid should be per hour of work

Please include as comment with bid the following information

- description of yourself

- your experience in the area

- number of hours you will be able to work / week.

- how long you will be available

- which software packages and process you expect to be using and have access to

- what data you have access to

Look forward to your bid,


Budget Clarification: The initial Budget listed here, is an approximate budget for the first phase of the project, i.e probably the first months, not an indication of what hourly rates I expect to pay:-)
Just thought I'd mention it.

Skills: Data Processing, Research

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About the Employer:
( 0 reviews ) Oslo, Norway

Project ID: #196056