💡 Background
Your thesis will be part of a research project analyzing the opportunities in the evolving field of decentralized finance. Recently, the field of decentralized finance has emerged as one of the most promising and fast developing fields in the blockchain space with surging interest of venture capital, hedge funds and tech companies.
The term decentralized finance refers to the paradigm shift from centralized institutions, such as banks or insurances, towards decentralized finance applications enabled by blockchain technologies and governed by algorithms. One type of such decentralized finance application are automated asset management funds based on smart contracts, which might apply a variety of trading strategies. The aim of this study will be to take a closer look at existing and potential trading strategies and quantitatively backtest a strategy.
🦾Who We Are
The Chair for Strategy and Organization is focused on research with impact. This means we do not want to repeat old ideas and base our research solely on the research people did 10 years ago. Instead, we currently research topics that will shape the future. Topics such as Agile Organizations and Digital Disruption, Blockchain Technology, Creativity and Innovation, Digital Transformation and Business Model Innovation, Diversity, Education: Education Technology and Performance Management, HRTech, Leadership, and Teams. We are always early in noticing trends, technologies, strategies, and organizations that shape the future, which has its ups and downs.
🎯 Goals
The goal is to backtest how different trading strategies would have performed over the last years in the cryptocurrency market. Therefore, the student should first summarize the trading strategies currently applied in the crypto market, consolidate the research done so far on trading strategies in the crypto market and provide an outlook on potential future extensions. For the quantitative part of the thesis, the student should gather cryptocurrency data, build a trading strategy algorithm and backtest its performance on the gathered cryptocurrency data as well as compare the performance to a buy and hold strategy. Master thesis students might also compare the performance of the algorithm on fiat currencies and/or equity markets and account for transaction costs.
🧠 Topics of Interest
- Blockchain
- Trading Strategies
- Decentralized Finance
- Asset Management
- FinTechs
🎓 Profile
- Reliable and self-driven
- Enthusiasm for Finance, Blockchain, and Quantitative Research
- Ability to do sophisticated data, internet, desk research, and connect with practitioners
- Passion to learn more about the future and do research with impact
📚 Further Reading
Grobys, K., Ahmed, S., & Sapkota, N. (2020). Technical trading rules in the cryptocurrency market. Finance Research Letters, 32, 101396.
Chauhan, V., & Arora, G. (2019, October). A review paper on cryptocurrency & portfolio management. In 2019 2nd International Conference on Power Energy, Environment and Intelligent Control (PEEIC) (pp. 60-62). IEEE
Chan, L. K., Jegadeesh, N., & Lakonishok, J. (1996). Momentum strategies. The Journal of Finance, 51(5), 1681-1713.
Rohrbach, J., Suremann, S., & Osterrieder, J. (2017). Momentum and trend following trading strategies for currencies revisited-combining academia and industry. Available at SSRN 2949379.
📄 Requirements to any Work
We do not want your research to gather dust in some corner of bookshelf but make it accessible to the world. Thus, we warmly encourage you to create some or all of the following:
- Infograph - visually represent some of your work (find examples here)
- Slide Deck - summarize your research and possibly present it
- Extract most important sequences from podcasts, videos, and other media
- 3-4 Tweets about the most important findings and summarizing the topic
- optional: Medium Article - let people outside the university know about your research and start your personal brand
📬 How to Apply
If you are interested, please contact Eva Meyer (e-mail below) by submitting your CV and grade report. Please also briefly outline your tentative research idea (research question, data and methods, possible outcomes with a tentative outline all in word as *.docx)
We're greatly looking forward to hearing more about you!
👉 eva.meyer@tum.de