Industrial Projects

2010-2011 Projects

BNP Equity Smart Order Router

Sponsor: BNP Paribas
Advisors: Jon Abraham, Daniel Dougherty (CS)
Students: Xiaoyun Wang, Huan Tu Lai

Blizzard is BNP Paribas' smart order router implementation, a system that takes order requests from clients and algorithmically executes those orders. The goal of this project is to develop a general purpose visualization toolkit that could be used to dynamically display and monitor the status of Blizzard, and allow for easy analysis the router. This tool will provide an easier way to detect anomalies and find the impact of factors such as router and market latency and market movement on the performance of the router, as measured by the metric of the fill ratio, or the percent of orders successfully executed. A secondary goal of this project is to use the toolkit, in addition to statistical analysis, to find improvements for the algorithms in place.

Simulating Tracking Error in Variable Annuities

Sponsor: Towers Watson
Advisor: Jon Abraham
Students: Ian Cahill, Elizabeth Dailey, Blake Kelly, Charlotte McDonnell

Our project analyzed the standard deviation of projected mutual fund returns relative to the actual performance of the mutual fund. We performed Monte-Carlo simulations using geometric Brownian motion to obtain the projected mutual funds. Our project tested the effects of a regime-switching model and distribution of manager's alpha by generating many scenarios to draw conclusions about fund mapping accuracy. Using our results, we analyzed the specific effects of these variables to provide conclusions to our sponsor, Towers Watson.

Portfolio Optimization of Credit Line Utilization

Sponsor: Royal Bank of Scotland
Advisors: Jon Abraham, Arthur Gerstenfeld (MG)
Students: Yutong Qin, Silvia Casado

This project was the creation of a prototype for the current RBS system to provide better insight into the credit aspects of a portfolio especially for credit-constrained counterparties. We developed an excel-based tool that provides three methods for optimizing the use of credit in portfolios and invented our own additional strategy. The tool will be used as a desktop application for salespeople with a goal of finding further trade opportunities. An initial trial of our tool revealed an astonishing ten million pounds trade opportunity that current RBS systems would not have been able to detect.

Alumni Donations: An Analysis of the W.P.I. Contribution Trend

Sponsor: WPI Alumni Office
Advisor: Jon Abraham
Students: Lindsay Brown, Shanna Infantino, Minh Le, Karen Teague

The Alumni Donation MQP focused on discovering and analyzing trends for individuals who have both donated and not donated to WPI. These trends aided in determining how to maximize donations to the school and in determining if an individual has the potential to give in the future. This project examined the effects that gender, age, and other contributing factors of the WPI alumni has on one's probability of donating. Models were created that would enable the Alumni Office to determine the probability of an alumni giving to the school. In addition, this project analyzed activities that have been done in the past, trying to determine which activities promoted more donation and participation, as well as looking for other activities that encourage people to become more active with the school.

Unum Long Term Disability Insurance Study

Sponsor: Unum
Advisors: Jon Abraham, Paul Davis
Students: Sarah Johnson, Joel Reed, Damian Skwierczynski, Lindsay Spencer

This project aimed to find an explanation as to why Social Security's Long Term Disability (LTD) incidence rates have increased in the past few years while Unum has not experienced the same results. We worked with Unum's complete LTD data and publicly available Social Security and Census data in attempts to identify a solution. We developed a method to accurately compare Social Security and Unum incidence rates and explored several promising theories that could not be confirmed without more data.

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Last modified: Feb 05, 2016, 14:05 UTC