A-TIER skill
10 non-cliche quant research projects — Bayesian BL, RL factors, PBO
100k ft — What is this?
10 non-cliche quant research projects — Bayesian BL, RL factors, PBO
50k ft — Why care?
@heidioftheeast's 10 quant project ideas beyond Black-Scholes: probability of backtest overfitting, Bayesian Black-Litterman, survival-based risk, RL factor portfolios, Sharpe statistics, convex portfolio trading, TS vs XS factors, numeraire-invariant hedging, exotic option model risk, regime-switching factors.
10k ft — Key takeaways
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5k ft — Tools & techniques
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AI agents, Bayesian Black-Litterman, Monte Carlo, algorithmic trading, backtest overfitting detection
1k ft — Deep-dive / try it
Tired of doing the same Black–Scholes or Monte Carlo projects? Here are 10 quant research ideas you can explore, learn, and replicate to level up your skills
1. Probability of Backtest Overfitting: learn how to detect when your strategies are just curve-fitted to past data.
2. Bayesian Black–Litterman Portfolio Optimization: upgrade classic allocation with Bayesian updates for better uncertainty management.
3. Survival-Based Risk Prediction: use upper and lower partial moments to forecast risk more realistically.
4. Model-Free Reinforcement Learning for Factor Portfolios: let an RL agent optimize your factor exposures without explicit assumptions.
5. Statistics of Sharpe Ratios: understand the reliability and variability of Sharpe ratios across strategies.
6. Systematic Portfolio Trading …
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