MS in Financial Engineering Student Research

 

See what students have to say about their research experience here at Lehigh University

 

"This semester, we are doing a project which focused on testing whether liquidity risk can be leveraged for the purposes of portfolio allocation. We tried to use liquidity-adjusted CAPM to estimate parameters in Markowitz mean-variance model and then compared the results with those derived from the traditional model. We used past-ten-years data from D&J 30 and used sharpe ratio to compare these two results. We found the values are same. Now we are trying to split the period into different windows to see if the result will be different."

 

"During my study time in Lehigh, I had been assisting two professors with their studies. One is related to manipulation and reorganization of large panel datasets using Stata and SQL. The other was about text mining through Python based on the unstructured data, and created a new operation pattern in corporate marketing. I gained programming skills in Python and R from many quantitative financial projects in class, and it was really a good chance to put my apply skills into practice."

 

"As a research assistant, I am currently assisting two professors with several projects related to corporate finance and the mortgage market. My quantitative background and multiple programming language skills make me qualified for the data processing and modeling. For example, one project required several analytical factors from equity research reports. Due to the large numbers of reports, I wrote a program in Python to conduct data scraping, which highly improved the efficiency. Other programming languages such as R and SAS also helped in my research work."