Tuesday, October 23, 2007

My finance supervisor has got back to me with some suggested changes. I have now made all of these, and then asked my father to have a final read over it, as he is a retired academc and could improve much of the grammer. I have just done any changes he recomends and will have one final read over it tomorrow morning when my mind is fresh before I get it printed.

Thursday, October 18, 2007

I have now pretty much completed my thesis just editing. I sent it to my finance supervisor about a week ago to read over, and am now just waiting for any final comments and adjustments he recommends. I will then send this off to get printed next Tuesday so it is ready for submisson on Friday.

Friday, October 5, 2007

The list of brokers has arrived, and I have now obtained all my results required. I have typed up the results and conclusion sections. All that I must do now is editing and smaller details, such as title page, table of contents and few other little parts.

Monday, September 24, 2007

My full data set has now arrived and the code I have allready developed needs little altering. One part that did require some changes, was a loop that cycled 125 000 times for the 900000 data samples that I have. This took to long for my computer to process, and I have determined a much more efficient way to process the data. All my code is complete and can be run on the full data set. However, I am still waiting on a list that determines if the randomised broker id's are retail or institutional brokers. Once this is obtained (hopefully this week) my results will be available and can be written up.

Wednesday, September 12, 2007

I have now finished the front end of my thesis, and all that is now needed to be written up is the results and conclusion. My sample data has just arrived (finally) so I can now start programming. The practice code i did earlier will help, and alot of the code I developed earlier can easily be altered to suit this data. I have just finished all my mid semesters and can now completely focus on my thesis. Hopefully I will have all the codeing completed by the end of the mid semester break.

Thursday, August 30, 2007

I have just handed in my thesis draft I had completed most of my introduction, the background and theoretical considerations, the design section as well as references. Unfortunately my data is yet to arrive. SIRCA has had a problem with their computers and have had a problem processing it. It is constantly being delayed but I have been told it should hopefully arrive by late next week. In the meantime my Finance thesis supervisor will give me some data that will represent the data structure and code can be developed for this data. I have also done some research on the ASX for a bit of instututional detail that I will add in my section about the data used.

Monday, August 20, 2007

I have now re-written my literature review, introduction to hopefully flow better and have typed up my design and models to be used. I am still waiting on my data and will email my Finance supervisor today to see if he knows when it may arrive. As a result of the wait I made up a mock data set in excel which I believe will replicate a similar data structure to what I will receive. I have written code that will do all the data manipulations and form the models required on this mock data set. Hopefully this code can then be easily changed so it can be applied to the true data set once it arrives.

Wednesday, August 8, 2007

I have now met with my Finance supervisor who has reviewed my draft introduction and literature review/background. My writing skills are not the best, as a result he told me that I should try to make it "flow better". I have been working on this. I am still waiting on my data which I'm told is currently being processed at CIRCA.

Sunday, July 29, 2007

Since my last entry I completed my project plan which outlined the tasks required and expected time to complete them. I have also completed my draft litereature review and introduction. I have sent these to my finance supervisor whom I will meet and discuss my work with this Tuesday. I will also discuss my data, I have been told it is currently being processed and should be avaiable shortly.

Tuesday, July 24, 2007

I have now done more work on my literature review, I just returned from a week's holiday so did not do quite as much as I had intended. As a result I will focus on doing my literature review and project plan over the next week and will hopefully start working on my data next week.

Tuesday, July 10, 2007

Since my last entry I have started my literature review. I have now written about 2500 words. I am also finding more relevant papers as I write my review. This is because papers that I found in relevant journal have references to more papers. As a result I now have a large source of papers and a lot more reading ahead of me. I hope to be close to finishing my literature review within a fortnight and to have started working on my data and necessary models.

Tuesday, July 3, 2007

My exams are now finished and I am once again working on my thesis. I have been looking for more papers, but I'm beginning to find relevant papers harder to find. I will hopefully spend today as my last day searching for papers and will then begin working on my literature review. I have also determined the models and methods required for this thesis. Accordingly some programming and data manipulation will be done to perform a series of different regression models on the data in order to determine what factors and market conditions provide (demand) liquidity in options markets.

Thursday, June 7, 2007

Since my last post I have attended two more SAS workshops and should hopefully have learnt enough syntax for the programming required to do my thesis. I have also spoken to my Finance Supervisor about obtaining the data required and this is all under control. The final thing I have done is found one more paper (by chance) that is relative to my topic. I have not been hugely focused on my thesis at present as I have had alot of major assignments due, and with a majority of these now out of the way I will now be focusing on my final exams for the next few weeks.

Thursday, May 24, 2007

What I have done so far

With my topic (An empirical analysis on the supply of liquidity be retail and institutional investors in options markets) now approved by both the Engineering and Finance department I have started to reseach the topic. I have currently found about 15 papers in the Journal of Finance and The Journal of financial economics that are of relevance. I have generally been looking for papers that refer to trading behaviour of retail and institutional investors, and conditions under which they may provide more liquidity. To my knowledge this topic has no published articles on it so accordingly it is difficult to find published papers on the conditions for providing liquidity in options markets, however information on the conditions for liquidity in futures markets has been found.
I will also need to do some data amalysis, and regression models for this thesis, as a result I attended a SAS workshop yesterday as I feel this is the best software to use. While I have programming skills in many languages I am unfamiliar with this syntax and found these very useful.