Birkbeck, Univ of London
MSc Finance / Finance and Commodities
How to Choose a
Dissertation Topic
William Smith
(I did the MSc in 2008-2009, now doing a PhD in Mathematical Finance)
wsmith
ems.bbk.ac.uk
Finding More Info on Dissertation
Dissertation Guidelines
(See http://www.ems.bbk.ac.uk/for_students/msc_finance)
Student Handbook (same location)
Beverley
Previous MSc Students, Personal Tutors
Key Points
Worth 2 modules (i.e. 33% of overall mark)
Only way to judge your individual work.
Proposal due approx 19/20th Feb (course handbook says 5th Feb, maybe wrong)
Dissertation due end of August
Single supervisor.
Expect 3-5 meetings of 30 minutes with your Supervisor.
Supervisors time is limited in July / August, they may only visit Campus
occasionally.
Proposal is your roadmap.
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
Timetable - Suggested
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Dissertation
Talk with
supervisors
Investigate Topics
And Data
Write
Proposal
Begin
Research
Confirm
Data
Play with
Data
Research
/ Writeup
Writeup
Exams
Revise
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
Revise
Revise /
Exams
William Smith, 2009
Timetable - Risky Method
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Dissertation
Write
Proposal
Look for
Data
Research,
Writeup
PANIC
Exams
Revise
Revise
Revise /
Exams
Job
Working
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
???
William Smith, 2009
Choosing a Topic
YOU
What interests you?
JOB
What do employers want?
SUPERVISOR
What do supervisors already know?
PAPERS
Get ideas from research papers.
DATA
Without data you have nothing.
SIMPLE
Keep it simple but not trivial.
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
What interests you?
What would you like to know a lot
more about by August?
Existing skills and interests
Software?
Econometrics?
Prior work experience?
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
What do employers want?
List your dissertation on your CV.
Title should be clear and
interesting.
Sell your skills and interests
through your dissertation.
Great topic to discuss at
interview.
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
What do supervisors already know?
An interested supervisor is a helpful
supervisor.
Read the staff web pages.
Also look for people who didnt teach you.
Ask PhD students for advise on supervisors.
Talk to several (lots) of possible supervisors.
Its not rude.
Students get re-allocated if supervisors are
too popular (this is bad for you, try to avoid)
Dissertation is a good route into a PhD...
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
What do supervisors already know? For Example
http://www.ems.bbk.ac.uk/faculty/geman/
Published Papers
"Commodities and Numraire", 2010, Encyclopedia of Quantitative Finance, Wiley Publisher.
"Realized Variance Options and Convex Orders", 2010, Quantitative Finance
"On Pricing Risky Loans and Collateralized Fund Obligations", 2009, Journal of Credit Risk
"Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets", 2009, Energy Economics
"Modelling Electricity Prices with Forward Looking Capacity Constraints", 2009, Applied Mathematical
Finance
"Modeling Commodity Prices under the CEV model", Winter 2009, Journal of Alternative Investments
"WTI crude oil Futures in portfolio diversification : The time-to-maturity effect", 2008, Journal of
Banking and Finance
"Valuation of default-sensitive claims under imperfect information", 2008, Finance and Stochastics
"Correlations and the Pricing of Risks", 2008, Annals of Finance
"A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model", 2008, Applied
Mathematical Finance
"Time Consistency in Managing a Commodity Portfolio: A Dynamic Risk Measure Approach", 2008,
Journal of Banking and Finance
"Seasonal and Stochastic Features in Commodity Forward Curves", 2007, Review of Derivatives
Research
"Water as the Next Commodity", 2007; Journal of Alternative Investments
"Mean Reversion versus Random Walk in Oil and Natural Gas Prices", 2007, Advances in Mathematical
Finance, Birkhuser Boston
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
Get ideas from research papers
Learn how to access research papers (hint, Birkbeck elibrary)
JSTOR (older papers, classics)
ScienceDirect (the best for modern stuff)
Google Scholar
What have potential supervisors published recently?
Download 10 to 20, print.
Skim, not read. Look for patterns. Highlight. Keep.
Be prepared to discard 50%+.
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
Get ideas from research papers my own experience
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
Get ideas from research papers
General format of research papers
Abstract
Literature Review
Data Summary
Statistical / Econometric Techniques
Result of Analysis
Conclusion
Its a good template for your dissertation
Old ones are often easier to read, but modern
ones are more standardised (but deeper
econometrics)
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
Without data you have nothing
Do you have a special access (intern, employer etc)
CHECK you can use that data use outside the
organisation
Easy to Get
US Share Prices
(Yahoo Finance)
Daily Data (Yahoo
Finance)
US Commodity Spot
Prices (Datastream)
Interest Rates
(Federal Reserve,
Bank of England)
Moderately Easy
OECD Share Prices
US Commodity
Commodity Futures
Prices (Datastream)
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
Hard to Get
Developing World
Share Prices
Hourly / Tick Data
Bonds
Credit Ratings /
Products
Non-US
Commodities
William Smith, 2009
Without data you have nothing
Request any logins, permissions you need EARLY
Public data is the safe choice
Check frequency (daily good, yearly bad)
Compare Apples with Apples
Currency / frequency conversions makes the
story complicated
Check length / quantity of data
Comparing data : You are limited by the
weakest link
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
Recomended Data Sources
Yahoo Finance (By far the easiest)
Datastream (Harder to use, only 1 PC in
Birkbeck Library, afternoons only)
FRED (http://research.stlouisfed.org/fred2/)
data.un.org (registration required?)
www.statistics.gov.uk
UK Economic and Social Data Service
(www.esds.ac.uk) (registration required?)
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
Keep it simple but not trivial.
Is factor X consistent in locations A and B?
Has factor X changed over time?
How does factor X compare across assets?
Is factor X a good predictor of Y?
How are factors X and Y related?
Are there arbitrage opportunities in
market X?
Is technique X suitable in adverse market
conditions?
MSc Finance / Finance & Commodities
How to Choose a Dissertation Topic
William Smith, 2009
Summary
Start NOW!
Or youll regret it in July.
Papers
Use as your template.
Data
Data => topic
Not topic => data
Supervisors
Make friends now!
Good luck...
wsmith
ems.bbk.ac.uk
