445 days ago on jobs.swissquant.com

Master Thesis

swissQuant Group AG

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Master Thesis

  • Hours: 100%

  • Location: Zurich

  • Duration: up to 6 months, starting immediately

swissQuant Group bietet eine breite Palette von Dienstleistungen, Beratung und quantitativen Tools für den Finanz- und Industriesektor für Kunden in und ausserhalb der Schweiz an. Zu unseren Kunden zählen auch mehrere Fortune 500-Unternehmen. Unsere Kernkompetenz liegt in der Umsetzung von Intelligenter Technologie in einen substantiellen Mehrwert für unsere Kunden. swissQuant Group ist ein privat geführtes Unternehmen, das im Jahr 2005 als Spin-off der ETH Zürich gegründet wurde.


The thesis will focus on the estimation of high-frequency covariance dynamics for financial assets, with the purpose of developing a methodology to assess intraday portfolio risk figures. Potential applications can be found in the context of intraday trading or intraday margining systems.

Given the nature of the problem, a covariance estimator relying on tick-by-tick time series should theoretically benefit from their data abundancy and lead to better statistical properties. However, tick data analysis poses specific challenges, most notably: time inhomogeneity, presence of market micro -structure noise and time-series asynchronicity. Furthermore, to be of any practical value the estimation procedure will have to satisfy tight computational time constraints. Recently, new methods to tackle these issues relying on different (kernel, Fourier, Bayesian ) techniques have been published. Aim of the thesis is to investigate these approaches and, based on them, analyse intraday covariance dynamics and develop an intraday portfolio risk methodology.

Further details are available upon request.


  • Implement a covariance estimation methods for inhomogeneous, asynchronous and noisy data

  • Based on this covariance estimation model determine a methodology for portfolio risk figures estimation over different intra-day horizons

  • Benchmark this approach against standard econometric approaches both on artificial and real data


We are looking for a highly motivated student willing to focus his/her Master thesis on quant modeling in the context of the financial industry. The following qualifications are prerequisites:

  • Good knowledge of time-series analysis, Bayesian statistics and signal-processing

  • Comfortable with Python, R or Matlab

  • Flexible and self-motivated personality

  • Registration in a master’s thesis program at a recognized Swiss university; subsequent Supervisor approval


Interested? Please register and upload your cover letter and CV/Recommendations in PDF format via www.swissquant.com.

Master Thesis - Intraday (PDF, 169 kb)