(This project is taken by Abdelaziz Larif for the Fall Semester 2009-2010)

Description:
What is the best investment strategy on a stock whose time series exhibits correlations? In this project, you will be asked to develop and analyze various investment strategies on markets with temporal correlations. The project will focus on three main aspects:

- modelling correlations;

- taking into account transaction costs;

- application to real markets.

A possible more theoretical research direction is to explore the fundamental performance limits for a given correlation model.

Prerequisites:
The student should be at ease with probability, stochastic processes and Matlab programming.

References:
[1] T. Cover, J. Thomas, “Elements of Information Theory”, Wiley, Second Edition, Chapter 16.

Supervisor:
Dr. Olivier Lévêque (LTHI) * Email: olivier.leveque#epfl.ch * Office: INR 132 * Tel: 38112

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