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Can someone suggest a topic or some reasonably narrow area in financial time series analysis (e.g. statistical, machine learning, etc.) which can make a good topic for a master thesis? By 'good' I mean that it's perspective i.e. can be extended to PhD-level studies, but still manageable in 3-4 month time for an applied math master student. Thank you.

Edit: Thank you for the feedback. The field is indeed very broad and well developed that's why I would like to have some input from the community. Let's narrow down to high frequency financial time series or market microstructure (but if you come up with ideas in different areas I would be most grateful to hear it).

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You really should ask your advisor. IMO, asking random strangers on the internet is not a good idea. In any case, this should be CW. –  user28 Sep 19 '10 at 22:43
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I wouldn't necessarily assume that this should be CW since the OP is seeking a specific answer... –  Shane Sep 19 '10 at 22:44
    
Can you give us some sense of what kind of specialty your looking for? This is a very broad field, covering anything from market microstructure effects all the way up to long-term econometrics. I would also agree with Srikant that discussing with an advisor will be your best bet in the long run, although seeking advice here won't hurt as a start. –  Shane Sep 19 '10 at 22:46
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And either way - I think this should be a wiki... –  Tal Galili Sep 20 '10 at 9:22
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up vote 6 down vote accepted

Natural experiments are good working material for MA-thesis (less issue statistically speaking, quicker path to results,...).

A good one recently in finance deals with short selling ban: in many countries in the euro-zone, in 2008, short sales were banned on some banks/financial corporations in some countries (Greece, France, Belgium, Germany) while still allowed in others. You could try to find some banks that are similar in many characteristic (size, volatility in the years leading to 2008, type of assets) and see to what extend there behavior (volatility) was different during the crisis conditional to being in a no-short sale country or not.

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Thank you! That's a good idea. However I'm not very clear what exactly do you mean by "finding some banks"? –  Alexey Kalmykov Sep 20 '10 at 18:01
    
the eurozone banking market is still highly fragmented -and even more so before the crisis. You'll find plenty of mid-sized banks in various countries quoted on the local stock exchange that are very similar to one another (same size, assets, historical local community supports). It should be easy to find a large sample of such banks that are very similar to one another. You can start here; stoxx.com/indices/index_information.html?symbol=SX7P –  user189035 Sep 20 '10 at 18:25
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