ODT - THESIS TOPIC: János Levendovszky: Algorithmic trading and portfolio ...


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Thesis topic proposal

Algorithmic trading and portfolio optimization by parallel processing

THESIS TOPIC PROPOSAL

Institute: Budapest University of Technology and Economics
computer sciences
Doctoral School of Informatics

Thesis supervisor: János Levendovszky
Location of studies (in Hungarian): Department of Networked Systems and Services
Abbreviation of location of studies: HIT

Description of the research topic:

Algorithmic trading has long been one of the principal components in financial markets . Recently there is increasing need for trading on tick data giving rise to High Freqency Trading. In the research, real-time methods for portfolio optimization (based on mean reverting and Levy models) and for trading are sought implemented by neural networks, Support Vector Machines.and other architectures. Parallel implementations on GPGPU architectures are also investigated with extensive speed profiling compared with CPU based implementation.

International and Industrial cooperation: Morgan Stanley .

Required language skills: fluency in English
Recommended language skills (in Hungarian): Spanish
Further requirements:
basics of signal processing and of probability theory

Number of students who can be accepted: 2

Deadline for application: 2017-12-31

2024. IV. 17.
ODT ülés
Az ODT következő ülésére 2024. június 14-én, pénteken 10.00 órakor kerül sor a Semmelweis Egyetem Szenátusi termében (Bp. Üllői út 26. I. emelet).