Dear colleagues,

As part of the action’s deliverables, our working groups need to prepare a discussion paper of possible approaches to build a statistically valid backtesting framework for quantitative investment strategies using machine learning methods.

We are looking for a researcher to prepare and lead the writing of the discussion paper and be supported for this work by using the STSM tool. We already have a collection of related research papers available. COST is especially interested to support young researchers, female researchers and colleagues from inclusiveness target country.

Possible destinations for the STSM are Kaunas University of Technology in Lithuania, Ss. Cyril and Methodius University in North Macedonia and Zurich University of Applied Sciences in Switzerland.

Deadline for application: July 1st, 2022

Timeframe for the STSM: two to three weeks during September 2022; daily allowance of 160 EUR/calendar day + travel cost (up to 4000 EUR)

Deadline for the paper: October 15, 2022

Contacts for the grant application:

Codruta Mare codruta.mare@econ.ubbcluj.ro

Catarina Silva catarina@dei.uc.pt

Roman Matkovskyy roman.matkovskyy@rennes-sb.com

Advisors for the discussion paper: 

Kristina Sutiene kristina.sutiene@ktu.lt

Petre Lameski petre.lameski@finki.ukim.mk

Peter Schwendner peter.schwendner@zhaw.ch

More information: STSM: Short Term Scientific Mission – Fintech and Artificial Intelligence in Finance (fin-ai.eu)