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I have a background in mathematics (Functional Analysis and Probability Theory) and am looking to acquaint myself with research in quantitative finance, particularly with a programming component.

Background: Quant desks at banks and buy-side shops told me that I need to be able to demonstrate strong python programming skills. As I am fluent in c++, I assume this should not be a problem. I am just struggling with a particular subject/project to choose. What would be a good project based on quant finance to demonstrate proficiency in research and programming?

I realize the question is extremely broad, and thus I am not looking for specific answers, rather just a broad set of ideas I can further pursue.

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    $\begingroup$ There is a collection of quantfinance projects at the end of mark joshi's book "the concepts and practice of mathematical finance" you could start there (fwiw that's what I am doing myself) $\endgroup$
    – user11823918
    Commented Oct 23, 2019 at 6:08

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Below is the link to curated topics related to programming in quant finance. https://github.com/wilsonfreitas/awesome-quant (this contains all programming languages(python, R, C++ etc) and there resources in quant finance).

Apart from quantopian.com as mentioned above you can try quantiacs(https://www.quantiacs.com/) (which is actually a quant finance-algo trading competition, but here you can also learn a lot).

For any data required in quant finance analysis you can refer to quandlhttps://www.quandl.com/ which is one place where you can get high frequency (tick data) data for your analysis.

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I'd highly recommend the http://www.quantopian.com platform and the correspoding forum there, e.g. the trading strategies thread. You could pick a topic and also use a concrete example in job interview.

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