Hi All,I recently presented my initial idea for my thesis and was told I do not have enough mathematical content.Was initially going to build a trading system with regime swithching (mainly due to the number of jobs wityhin algorithmic trading at the minute).However now I am thinking of changing my topic completely.Basically I am looking for ideas about hot topics at the moment and in what asset classes.Apologies for being so vague but Ideally would like to have my thesis help in the job hunting process!Interested in:Greeks...relationship between theta and gamma.(like what Espen Haug does on his site)Not sure what else.Apologies for that vague question...just looking for a discussion really!

I think that's an acceptably "hot" topic, my suggestion is that you've not presented an approach that is mathematical enough.

QuoteOriginally posted by: DominicConnorI think that's an acceptably "hot" topic, my suggestion is that you've not presented an approach that is mathematical enough.I think this a weird problem in academic research. The solution has to be technical enough to be impressive but tractable enough to be solvable. Some papers appears to be neat theory looking for an application more than an application looking for neat theory.QuoteOriginally posted by: epon79Hi All,I recently presented my initial idea for my thesis and was told I do not have enough mathematical content.Was initially going to build a trading system with regime swithching (mainly due to the number of jobs wityhin algorithmic trading at the minute).It might be worthwhile if you reframe the question ? How do you detect a regime-swicth ? How vulnerable is the trading system to wrong detectors ? Can you improve correct identification of a regime ? What are the consequenses of being wrong ? How does any of these 4 change the optimal solution ? But you also have to be careful, if it ends up being technical analysis this would be shunned in academia

Ok...so I have decided to concentrate on regime switching.What i was thinking of was looking at the probability of transition from one regime to the next with a stochastic vol term.Not sure this makes sense but my rational is that surely in times of high vol the chances of a structural change is greater.

QuoteOriginally posted by: epon79Ok...so I have decided to concentrate on regime switching.What i was thinking of was looking at the probability of transition from one regime to the next with a stochastic vol term.Not sure this makes sense but my rational is that surely in times of high vol the chances of a structural change is greater.But are not regime switching and stochastic volatility to different attempts at modeling the same thing ? ( Volatility clustering with related effects ? ). What do you gain when you create a model with both ? Or is the point to use recent historical volatility as a predictor for a regime switch ?

Maybe by looking at the vix one could use that to adjust the probability of transition?