Information Technology Projects Course

Professor Arthur Goldberg
Computer Science Department
Spring 2006
Project Proposal


Company Description

As their web site says:

Citigroup reported a quarterly income of $7.14 billion for 3Q5. ...

Citigroup is largely organized into five groups: Citigroup Global Consumer Group, the Global Corporate and Investment Banking Group, Citigroup Global Investment Management, Citigroup International, and Smith Barney. ...

Proposal: Design and Prototype Time Series Analytics Excel Add-in

The goal of this project is to develop some software that could analyze time series data inside Excel spreadsheets. Typically, a time series maps date (and perhaps time) to price. The price might be the value of a bond, a stock, a fund, an index or any other liquid asset.

Traders will use the software to explore possible trading strategies.

The time series analyses will probably include several of the following: correlation, GARCH (a correlation algorithm that predicts variance which was developed by Prof. Robert Engle of Stern), recursive regression, and perhaps others. We may consider implementing some of the time series algorithms invented by our colleague Prof. Dennis Shasha and his students.

Alternatively, Scott Cushman of Citigroup has investigated public domain time series analysis software. Depending on this software's quality, the project might be largely evaluating existing libraries and packaging them into useful forms.

The implementation would encapsulate data in time series objects. It would be built using a c++ Excel add-in variant interface.

Naturally, mathematical expertise would help this project.

Note: we will staff at most one of the two projects offered by Citigroup.

Intern Address

390 Greenwich St., NY NY

Authorizing manager

Steven Conyers, Investment Modeling & Data Analytics (IMDA) Group, steven dot conyers <at> citigroup dot com

Project manager

John Carpenter, Credit Derivatives Trading Group, john.carpenter <at> and Scott Cushman, IMDA, scott.h.cushman <at>, (212) 816-1455

Meeting hours

Regular business hours (9-6, M-F)

Resources that will be made available to students

Citigroup says “Access to myself (Scott), data and software shouldn't be a problem.”