Available Master thesis topics

Crypto assets:

Bitcoin-Altcoin Pair Trading (reserved)

The thesis should first replicate and update González et al. (2020; González, María de la O., Francisco Jareño, and Frank S. Skinner. "Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns." Mathematics 8.5 (2020)). A second part of the thesis should be devoted to Bitcoin-Altcoin pair trading analysis, i.e., whether an investor could use lagged Bitcoin returns to forecast Altcoin returns (or vice versa). Please contact Andre Guettler if you are interested.

How much crypto assets should be in your portfolio?

The thesis should analyze how much crypto asssets should be in your portfolio. Based on Platanakis and Urquhart (2019) and the papers cited in this publication, you should use the Black-Litterman Model to come up with suitable crypto portfolio weights. Please contact Andre Guettler if you are interested.

The cleansing effect of flash loan attacks

The thesis should investigate flash loans. Besides characterising these type of short-term, uncollateralized loans, the cleansing effect of flash loan attacks should be analyzed, i.e., how vulnerable protokols such as  bZX or Harvest Finance have been (see first material here and here; more technical paper). In some way, flash loans facilitate stress testing new protokols and hence can be seen as getting rid of poorly designed DeFi protokols. Please contact Andre Guettler if you are interested. 

Applied Technical Analysis Using Python: The Case of Crypto Assets 

The thesis should analyze whether there are market inefficiencies that enable profitable trading strategies in crypto assets. Besides the usual backward-looking backtests, the thesis should run a true out-of-sample trading algorithm using Python with paper money (e.g., by running the code in the Coinbase Pro sandbox). See related papers here and here. The thesis requires reasonable knowledge in Python (or at least being willing to dive into this area). Please contact Andre Guettler if you are interested. 

Airdrop Price Development

The thesis should analyze the price developments of crypto token airdrops such as the recent $SOS. In particular, it should build upon prospect theory because airdops are a special case in which the purchase price equals zero (or close to zero in case you have to claim the new tokens and pay transaction costs, i.e., gas fees on Ethereum). Please contact Andre Guettler if you are interested. 

Predicting Bitcoin

This thesis should assess the predictive power of several time series regarding the Bitcoin price. We will provide minutely data of Bitcoin prices (open, high, low, close), trading volume, the number of trades, market maker activity, the long short ratio (of Bitcoin futures) and sentiment (signaling attention on Twitter, Reddit and Bitcointalk). You may use all or a part of this data, or retrieve (additional) data yourself. Please contact Tim Baumgartner if you are interested.

Modelling Bitcoin Trading Volume

This thesis should derive and test a model for the trading volume of Bitcoin on a certain exchange. We will provide minutely data of Bitcoin prices (open, high, low, close), trading volume, the number of trades, market maker activity, the long short ratio (of Bitcoin futures), and sentiment (signaling attention on Twitter, Reddit and Bitcointalk). You may use all or a part of this data, or retrieve (additional) data yourself. Please contact Tim Baumgartner if you are interested.

Arbitrage Opportunites between Crypto Exchanges

This thesis should evaluate arbitrage opportunities (that is, price differences) between different crypto exchanges. We will provide minutely data of Bitcoin prices (open, high, low, close), trading volume, and the number of trades of different exchanges. You may use all or a part of this data, or retrieve (additional) data yourself. Please contact Tim Baumgartner if you are interested.

Crypto Futures Leverage

This thesis will investigate the leverage used by traders in crypto futures. Please contact Tim Baumgartner if you are interested.

The Role of Market Makers on Binance

This thesis should analyze the trading activity of market makers on Binance. We will provide minutely data of Bitcoin prices (open, high, low, close), trading volume, the number of trades, market maker activity, the long short ratio (of Bitcoin futures) on Binance, and sentiment (signaling attention on Twitter, Reddit and Bitcointalk). You may use all or a part of this data, or retrieve (additional) data yourself. Please contact Tim Baumgartner if you are interested.

Bitcoin Variance Swaps

There are Bitcoin Variance Swaps traded, based on the Bitcoin Volatility Index BVIN. This thesis should examine the variance risk premium and the settlement of these products to assess to what extent they are vulnerable to market manipulation. We recommend this paper and this blog post as starting point. Please contact Tim Baumgartner if you are interested.

 

NFTs:

Price development of vintage NFTs: The case of Rare Pepe cards (reserved)
Vintage NFTs such as Rare Pepe (see information here and here) are mostly traded outside of established plattforms such as OpenSea. Hence, it is difficult to follow their price developments. The thesis should gather OTC (see here) and Counterparty (see here) data for such assets, calculate indices, and provide open source code (--> Github) for real time index calculation. Subindices for the various series should be calculated. Filters should be implemented (e.g., by number of minted cards). The indices should be the basis for descriptive statistics such as performance analysis and correlation with traditional (e.g, equity) as well as crypto assets. Please contact Andre Guettler if you are interested.

 

Asset management and asset pricing:

SPAC Investments

SPACs are special purpose acquisition companies: Entities IPOing to acquire privately held companies and make them tradable in a non-tradition manner. This thesis should gather a sample of european SPACs and assess their return. Please contact Tim Baumgartner if you are interested.

Value Investing: Stock Case Study

This thesis should pick a stock and assess valuation metrics from a value investor's approach. You may chose a stock yourself, or we are happy to propose a suitable company. Please contact Tim Baumgartner if you are interested.

Short Attacks

For this thesis, you should gather a sample of companies hit by a short attack and investigate the longer-term impact of them, as well as any rules of thumb regarding the timing of a rallying afterwards or the final destruction of the targets. Please contact Tim Baumgartner if you are interested.

Cboe VIX Earnings

According to an influential academic study (Griffin and Shams, 2018), the VIX is vulnerable to manipulation. However, Cboe Exchange, being responsible for the product, keeps quiet about the massive criticism. This behaviour might be the case because the VIX is a lucrative product of Cboe Exchange. This thesis should deduce an estimate of the gross profit and/or earnings per share of Cboe Exchange attributable to the VIX. Please contact Tim Baumgartner if you are interested.

Background of Recurring One-Day Event Studies

Extensive literature exists on event studies for longer time periods. In contrast, how to analyze an abnormal effect of - for instance - one particular day in every month is a more advanced problem. This thesis should give an overview of feasible approaches. Please contact Tim Baumgartner if you are interested.

International Volatility Indices and their Settlement Procedures

While the fear-gauge VIX is the most prominent volatility index in the US, there are various other (international) volatility indices worldwide. This thesis should give an overview of these indices, how the index values are calculated and discuss how derivatives upon them are settled on expiration. Please contact Tim Baumgartner if you are interested.

Leveraged Investment Strategies

The current inflation environment makes it seem appealing to boost returns of long term investments as follows: You take out a loan at for instance 3 percent interest and invest the money into stocks or other assets to earn higher returns than you pay interest. You then pay back the loan with dividends or from selling assets at a profit later. This thesis should assess the risks and returns of this strategy empirically. Furthermore, it should provide advice on which assets to choose. Please contact Tim Baumgartner if you are interested.