Hello, dear friend, you can consult us at any time if you have any questions, add WeChat: daixieit

FINN3071

Computational Quantitative Finance

Undergraduate Programmes 2023/24

SUMMATIVE ASSIGNMENT 1

· Students are required to implement a trading strategy and evaluate its performance relative to a random walk strategy.

· Students can choose one trading strategy covered in term 1, a strategy from the literature or implement their own.

· Students are required to collect data for their chosen trading strategy from one of the following sources:

§ Refinitiv

§ Bloomberg

§ Capital IQ

§ WRDS (including Datastream)

§ yfinance

· The report should contain the followings:

o Details of the random walk model for asset returns, including critique of relevant stochastic models.

o Details of the chosen trading strategy, including critique of the chosen strategy with reference to relevant literature.

o Implementation details such as trade entry, exit, risk control and transaction frequency & costs.

o Financial performance; average return, Sharpe ratio, Maximum Drawdown, etc.

o Historical simulation of the trading strategy using in and out of sample data.

o Critical evaluation of the results.

· Details and critique of trading strategies should be written in Markdown.

· Analysis and Evaluation of code output should be written in Markdown.

· Explanation about code should be written within code cells with the ‘#’ notation.

· The report should be written in a Jupyter Notebook and submitted as a ‘.ipynb’ file.

Overall word limit: 1500

This assignment is worth 40% of the overall module mark.

SUBMISSION INSTRUCTIONS

Your completed assignment must be uploaded to Ultra
no later than 12:00 midday on 8 February 2024

A penalty will be applied for work uploaded after 12:00 midday as detailed in the Student Information Hub.  You must leave sufficient time to fully complete the upload process before the deadline and check that you have received a receipt. At peak periods, it can take up to 30 minutes for a receipt to be generated.

Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font. Assignments and dissertations/business projects must not exceed the word count indicated in the module handbook/assessment brief.

The word count should:

§ Include all the text, including title, preface, introduction, in-text citations, quotations, footnotes, and any other item not specifically excluded below.

§ Exclude diagrams, tables (including tables/lists of contents and figures), equations, executive summary/abstract, acknowledgements, declaration, bibliography/list of references and appendices. However, it is not appropriate to use diagrams or tables merely as a way of circumventing the word limit. If a student uses a table or figure as a means of presenting his/her own words, then this is included in the word count.

Examiners will stop reading once the word limit has been reached, and work beyond this point will not be assessed. Checks of word counts will be carried out on submitted work, including any assignments or dissertations/business projects that appear to be clearly over-length. Checks may take place manually and/or with the aid of the word count provided via an electronic submission. Where a student has intentionally misrepresented their word count, the School may treat this as an offence under Section IV of the General Regulations of the University. Extreme cases may be viewed as dishonest practice under Section IV, 5 (a) (x) of the General Regulations.

Very occasionally it may be appropriate to present, in an appendix, material which does not properly belong in the main body of the assessment but which some students wish to provide for the sake of completeness. Any appendices will not have a role in the assessment - examiners are under no obligation to read appendices and they do not form part of the word count. Material that students wish to be assessed should always be included in the main body of the text.

Guidance on referencing can be found on Durham University website and in the Student Information Hub.

MARKING GUIDELINES

Performance in the summative assessment for this module is judged against the following criteria:

· Relevance to question(s)

· Organisation, structure and presentation

· Depth of understanding

· Analysis and discussion

· Use of sources and referencing

· Overall conclusions