For the Wire’s first independent study highlight we connected with Tony Cusano ’07, who recently completed a series of projects with Professor Rossen Valkanov.
For the duration of his second year, Tony worked on a trading strategy centered around options volatility. He was able to find a market input directly correlated with future volatility in a stock that could be exploited using derivatives. Tony was able to show a very high risk adjusted return (Sharpe Ratio) and due to the success of his independent study, is currently implementing his findings in the market.
Tony’s project sequence allowed him to investigate many strategies with a ‘master’ in a 1:1 setting. He has since applied his skills in practice with a San Francisco-based mutual fund, which was arranged by Professor Valkanov. Tony explained that an “independent study is so effective because it gives students the opportunity to explore special interest projects with input and guidance of from industry.” This, he claimed, “drastically increase[s] the caliber of the project.” In this setting, said Cusano, “customization is key and that’s what really separates an independent study from a traditional elective.”