Intro: My name is Zachary Gottlieb, I am currently a Senior at North and this is my second year in the Science Research Program. I have always been interested in research and STEM, so after hearing about the Science Research Program late in my Sophomore year, I immediately signed up.
My Topic: Exploring the relation between intraday volatility (IDV) and market metrics using a gaussian mixture hidden Markov model (GMMHMM). I was able to show that different "states" - periods with similar values - of IDV were related to different long term growth rates in the S&P-500. It is well known that returns aren't predictable, but many papers have found that volatility is inversely correlated with "returns" (researchers have not specified the period of these returns). At least by my definition of returns, I was able to show that the different states had different long term returns (growth rates) but similar mean returns. This shows that the difference in long term returns is due to variance drag, not volatility being predictive of mean returns. Finally, a rudimentary trading strategy based on buying during the lowest state and being in cash otherwise proved to be very profitable.Â
My Science Research Experience
Late in my Sophomore year, I became interested in statistical modeling and quantitative finance, just around the time I heard and signed up for the research program. I had a few informal meetings with my advisor Dr. Schuchman around the time to get me up to speed with the program, but I was still not officially in the program. I have been formally involved in the program since my Junior year. Outside of obviously gaining knowledge on my topic, my research and organizational skills were greatly improved through the program.