Since 2012, nearly a dozen CFRM students have completed projects for Google Summer of Code (GSoC), which is a global program that offers post-secondary student developers stipends to write code for various open source software projects.
Participating students work full-time on their projects, and CFRM instructors serve as mentors. In addition to offering mentorship to CFRM GSoC students over the years, CFRM instructors have also mentored students from Economics and Applied Mathematics PhD programs on their projects.
One past project that was accepted into GSoC was an R PortfolioAnalytics Package that includes parallel computing implementations for some portfolio problems, and was used in a number of CFRM courses. Another project resulted in a Shiny interface for the package RobStatTM, which is a companion to the 2nd edition (2019) of the book Robust Statistics: Theory and Methods, 2nd edition (Maronna, Martin, Yohai, Salibian-Barrera).
More recently, accepted into the program was a project implementing Applied Mathematics Professor Emeritus and CFRM founder Douglas R. Martin’s recent research on robust GARCH models in a publicly available open source R package. “It was a great experience, and both students successfully completed the implementation of some sophisticated statistical models that came out of Doug Martin’s cutting-edge research,” said faculty mentor Daniel Hanson. “These models are highly relevant in finance, and they bring much more accurate distributional and time series fits to financial returns data compared to conventional models that one commonly finds in quantitative finance practice,” Hanson continued.
Google Summer of Code has been an important summer opportunity for Computational Finance and Risk Management graduate students. With the valuable mentorship from CFRM instructors of hard working CFRM graduate students, we anticipate it will continue to be a beneficial experience for all.