Table 3 A partial list of potential topics for term projects
From: Teaching programming skills to finance students: how to design and teach a great course
Using CRSP or TAQ | 31 | Estimate spread using CRSP daily data (Chung and Zhang 2014) |
32 | Is liquidity factor priced? (Amihud 2002) | |
33 | What is the color of your firm, blue or red? (Yan 2014) | |
34 | Which model is the best, CAPM, FF3, FFC4, or FF5? | |
35 | Estimate spread, relative spread, expected spread etc. by using TAQ | |
36 | Process TAQ efficiently, how to process 30Â year MTAQ data efficiently? | |
37 | Replicate momentum trading strategy (Jegadeesh and Titman 1993) | |
38 | Replicate industry momentum trading strategy (Moskowitz and Grinblatt 1999) | |
39 | Replicate 52-week high trading strategy (George and Huang 2004) | |
40 | Replicate max- trading strategy (Bali et al. 2011) | |
41 | Impact of business cycle on the above four trading strategies, (Yan and Zhang 2015) |