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This is a list of projects hosted by the Postgraduate and Postdoctoral Placements site. Projects should be aimed at postgraduate students working in the Faculty of Mathematics. To remove a listing, please contact Jacob Rasmussen.

Timescales for normalisation

Contact Name Dr. Colin Trueman
Contact Email colin.trueman@commerzbank.com
Company Name Commerzbank (Electronic Trading)
Address 30 Gresham Street, London, EC2V7PG
Period of the Project 8-12 weeks
Brief Description of Project Effective high speed electronic trading in foreign exchange relies on a statistical understanding of the effective global market micro-structure. There is an understanding that analysing the behaviour of the market according to a non-linear temporal measure may in-fact result in more normal distributions of micro structure properties and consequently allow more effective statistical decisions to be made in “real-time”. This is an important an ongoing research topic.
Skills Required Interest in statistical analysis. Excellent Communication
Skills Desired Machine learning. Interest in Financial Markets

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Machine learning and market correlations

Contact Name Dr. Colin Trueman
Contact Email colin.trueman@commerzbank.com
Company Name Commerzbank (Electronic Trading)
Address 30 Gresham Street, London, EC2V7PG
Period of the Project 8-12 weeks
Brief Description of Project We run a low latency real time electronic trading business for foreign exchange transactions. We analyse short term correlations between different asset classes (equities, interest rates etc.) and the foreign exchange markets to augment our “real-time” pricing and hedging algorithms. This is an important an ongoing research topic.
Skills Required Interest in statistical analysis. Excellent Communication
Skills Desired Machine learning. Interest in Financial Markets

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