Potential Thesis Topics

General Area of Thesis Supervision:

Machine Learning in Finance, Cryptocurrencies, Political Finance, Empirical Finance, Quantitative Finance, Risk Management, Parameter and Model Uncertainty, Forecasting

Open Topics:

Seminars (e.g. Seminar in finance)

• Ambiguity/Parameter Uncertainty and Real Option Portfolios (Literature Review)
• Predicting the equity premium with ambiguity, which measure performs best?
• Predicting stock returns with ambiguity vs measuring the current level of ambiguity from the markets
• Predicting the equity premium with cross-sectional moments using simple ML rather than OLS and auto-encoders rather than principal components.
• Turbulence before and after elections. Is there a relationship to the measure of political uncertainty of Kelly et al. (2016)?

Thesis (Mainly master thesis)

• Political Finance:

  • The cost of populism (relate to corruption and economic freedom indices)
  • Election Portfolios: Drivers of Betting Quotes and Stock Returns

• Innovative Finance - Machine Learning in Finance:

  • Multivariate Predictability in Assets and Factors. Apply Machine Learning techniques to exploit linear and nonlinear predictability.
  • Machine Learning in Asset Management. Clustering/Shrinking, Factor Models and the Covariance Matrix
  • Predicting the Equity Premium with Machine Learning and turbulence measures rather than anomaly returns (see this paper)

• Innovative Finance - Cryptocurrencies:

  • Factor investing in crypto currencies
  • A cryptocurrency turbulence index

• Innovative Finance - Uncertainty (Parameter/Financial/Macro-Financial/Portfolio …):

  • NEW: History-aware ambiguity measures: is there something turbulence can learn from probability uncertainty and vice-versa?
  • NEW: Macro-Financial Uncertainty and the work of Rossi & Sekhposyan, 2017 and Rossi, Sekhposyan & Soupre, 2016. Relate the various indices to each other. What measures what? How can we find out what the best measure of uncertainty is? (see also Bekaert et. al, 2022)
  • The term structure of uncertainty: Uncertainty (Unusualness/Turbulence) in good times, uncertainty in bad times and uncertainty about bad times. Investigate the term structure of uncertainty and its implications on (e.g.) asset prices.
  • Within- and cross-country uncertainty (data available). What drives (international) asset prices?
  • Higher (Co)Moment Uncertainty and Stock Returns
  • Financial Turbulence and the Estimation of Tail Risk

• Asset Pricing:

  • What is the optimal number of portfolios to build for long-short factor premia? Is building portfolios the right way? A good starting point is this paper (ONLY FOR TOP STUDENTS)
  • What is the optimal number of partitions (portfolios) for the calculation of cross-sectional predictors (e.g. cross-sectional volatility)? Which cross-section delivers the best predictor of the equity premium? (ONLY FOR TOP STUDENTS, I CAN PROVIDE DATA AND PARTS OF THE CODES). See also Walter et. al, 2022, Non-Standard Errors in Portfolio Sorts
  • Factor Momentum: Factor Uncertainty and Factor Momentum Performance.

• Asset Selection:

  • Robust portfolios: Estimation & Empirics