Submit a complete project report with the following topics. Responsible person for each of the topics should be identified and stated.

Market Microstructure Analysis: (10 marks)

Stocks analysed

Stock chosen

Opportunity (Supply/Demand imbalance) identified

Opportunity explained (why it exists)

Design: (5 marks)

Strategies defined

Expected outperformance vs market index over a period of time

Expected maximum underperformance (peak to trough) at any point in time

Paper portfolio size (in $ terms) assumed

Trading costs assumptions (in % terms)

Market impact (implementation shortfalls) assumptions (in % terms)

Turnover assumptions (on an annual basis in relation to portfolio size)

Implementation: (10 marks)

Source code

Types of data used

Period of data used

In sample (training)/out of sample (testing) period chosen

Risk Management: (5 marks)

Risk management policies

Possible human interventions

Evaluation: (5 marks)

In sample vs out of sample results

Turnover assumed vs incurred

Maximum underperformance assumed vs incurred

Risk identified and proposed fine-tuning