Research Topics

We are looking for a researcher, preferably a MSc Student, a scholarship of 5,250 – 19,000 TL/month for upto 18 months, in a TUBITAK 1001 Project to work on the following topics:

• MSc Thesis: Synthetic Market Data Simulation: an open-source artificial financial market, which is to include financial instruments from cash to exotic options with their mathematical formulations.

• Simulation of Portfolio of Assets

• Portfolio Risk Calculation

• Portfolio Optimisation

• Calibration of the Models to the (real or artificial) Market

Note. The tentative MSc thesis topic will also be submitted to METU for a project proposal, whether or not the candidate is a graduate student.

Preferred Skills

Candidates are expected to have some knowledge on (not necessarily on all of) the following:

• Programming: Python, with OOP knowledge, is encouraged, besides R and Julia, and working on Virtual Environments. A basic knowledge on parallelisation for the simulations of independent instruments might also be useful.
• Linux: Basic knowledge on working on Linux machine is essential since many applications will be on Podman (or Docker) containers.
• GitHub (Git): All stages in programming as well as documentation is to be carried our on a (distributed) version control system, preferably on GitHub.
• Database (SQL): Basic usage of databases, using SQL, might also be important to store and retrieve the data to and from the database.

How to Apply

If you are interested and passionate about financial modelling, market simulation, portfolio and risk optimization, this project seems to be for you!

• send your CV, and possibly,
• a short letter including your intensions,

via email to “Omur Ugur” ougur@metu.edu.tr as early as possible not to miss the opportunity.