Research

Jan. 2024

Spring 2024 is going to be the first semester we run this research group at ASDRP. We will be exploring the research topics together. As a reference for anyone who may be interested in this research, following are some earlier thoughts on how we'll get started.

A. Examples of research topics and publications

Some examples of high school researcher publications in the finance domain:

• Constructing an equally weighted stock portfolio based on systematic risk (beta), JEI 2021

• Understanding investors behaviors during the COVID-19 outbreak using Twitter sentiment analysis, JEI 2023

(If you know other good journals for finance research or other nice examples of publications in this domain, we'd like to hear your recommendations.)

B. Suggested path of research for our group

1. Everyone will either propose a research topic they'd like to dedicate to, or join a team in this research group that works on the topic they are interested in. Then over the semester the team will build models & analysis, share results & lead discussions, give presentations and write publications on their research outcomes. The research teams in our group will hear the updates from all teams in each group meeting and give each other suggestions.

2. Before one finds a research topic they'd like to work on, we'll provide some general guidance of exploratory work in the finance domain to help him / her find their interest.

3. Since each of our students may have a different goal with their research, we expect the students to own their goals and manage how their research progresses align with their goals. When there are questions or problems, let Huifang know and we'll find a way to solve the problems. 

C. Some research topics we may explore

Similar to the above publication examples, some research topics we can explore are:

• Building models to pick stocks and form a portfolio that can outperform the market 

• Building algorithms or models to do algorithmic trading that can outperform the market

• Understanding how certain events (e.g. political, societal, industrial) impact the investor behaviors and finance market

(If you have other thoughts or recommendations for research topics, feel free to bring those up for discussion.)

D. Some general guidance of exploratory work that may help one find their research interest

1. Search on the internet to find finance data you can download for free, such as the historical stock prices and volumes (e.g. from Yahoo Finance, Nasdaq, etc), You may want to start with the major indexes that represent the performance of the U.S. market (e.g. Dow Jones, S&P 500, and Nasdaq Composite) as well as the flagship stocks (e.g. AAPL, META, MSFT, COKE, etc). 

2. Run exploratory data analysis to understand the factors that influence the financial market prices and activities (e.g. economic cycle, industry performance, company performance, etc).

3. Explore building models to predict the price of selected stocks or indexes. Experiment different modeling algorithms. Find data from all sources that can help explain the market fluctuations, including economic data, news, consumer sentiments extracted from social media data, etc. Run tests, characterize model performance and keep improving the prediction accuracy.

4. Identify the events or times when the financial market had big changes. If you have any curiosity about how or why those events have impacted the market, conduct some research to understand and share the results for discussions.