January 8th, 2009, 12:49 am
Hey, so thanks for the replies guys.robsan - ??Alan - That doesn't sound too interesting to me; it seems like it'll be pure data processing and quite boring to me. I'm trying to avoid the tedium of data process as much as I can, especially since I can choose almost anything to do a thesis on.mit and niki5 - those seem like ideas that I might use, but I don't know, for some reason it just doesn't make my body tingle.One of the things that I'm strongly considering is along the lines of agent-based modeling, irrationality, and market-microstructure. Namely, I want to see what kind of results you get if you assume that not all agents are rational. In particular, if there are some watershed results in the field that assume rational-acting agents, see how the results are changed when you throw in a portion of irrational agents - see if it is very sensitive to the rationality assumption; and if it is, point out that it's not entirely prudent to be using the model since we know quite well that agents aren't rational in the real market. Alternately if there aren't really any landmark, perhaps try to create some situation, maybe even outside of financial markets (again, my topic doesn't have to be strictly in finance) and instead in game theory, and then again, see where it's sensitive to irrationality. I know Doyne Farmer has written some papers on zero-intelligence agents in financial markets and read a bit on it, but not sure how important these are.If anyone can give me any leads in this area, that would be awesome. Thanks a lot guys.
Last edited by
bos09 on January 7th, 2009, 11:00 pm, edited 1 time in total.