The “Falling Knife” Project

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Faculty Mentor/s: Patrick Zoro, Finance

Students on the team this summer: 
Odilon Niyomugabo - 2021 – UG - Industrial & Systems Engineering
Eric Meskin - 2021 – UG - Finance
Delton Tschida - 2021 – UG - Finance / Industrial & Systems Engineering
Shiqi Liu - 2021 – UG - Statistics
Andrew Park - 2021 – UG - Bioengineering
 
Project Description: The goal of this project is to build a software with customer interface to
detect whether or not the stock that a user has selected is a “falling knife.” If the stock is a falling
knife, how far is the fall, and when will it go back up to its previous price level? Students will
understand what a falling knife is, how to find these falling knives, and to teach machine learning
the pattern of them. Lastly, students will build the base model on findings and back test its
accuracy. Currently the project uses Technical Analysis to identify those short term (days,
weeks) falling knives with MACD, RSI, EMA, and the fall duration. The team will cross check
the S&P 500 for the past 30 years to see if findings hold, and use fundamental analysis and
financial matrices to identify what counts as a long term (Months, years) falling knife. To see
more about the project, see a 30-minute video from Masters in Financial Engineering
students, here.  
Month/Year Project Began:JUNE 2020