STSM

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Applications Grant Period 1

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Ahmad Amine Loutfi, PhD Fellow, Norwegian University of Science and Technology (NTNU), Norway.[1]

• Host institution: Institute of Wealth & Asset Management, Zurich University of Applied Sciences (ZHAW), Switzerland.

• Supervisor at ZHAW: Prof. Dr. Peter Schwendner, Director of Institute[2]

• Supervisor at NTNU: Prof. Dr. Per Bjarte Solibakke.[3]

• STSM Title: Implementing an investment strategy based on alternative sentiment data with an unbiased Backtest

• STSM project: In this project, we propose to study the extent to which alternative data (News/reports) can predict electricity spot prices. This will allow us to assess the backtesting of relevant investment strategies. The results of this project will also be used to extend an ongoing research project where we study electricity spot price prediction based only on conventional data. We aim to augment the conventional data set with a new feature which reflects the alternative data, and then run the newly augmented dataset through the same neural network model and then compute the new loss function results in order to assess the models’ performance with and without alternative data.