Dissertation topic advice: spot/futures price volatility?

What level are you? My MSc was a lot more specific than my BA.

Definitely keep it narrower. You'll find that a title is actually pretty fluid, I ended up with completely different titles on both my papers than when I started because I went where the research took me and chose the directions I was interested in.

Its a BA, but we were advised to keep topics specific as well.

I'm allowed to change it until october so long as its the same basic topic. But I'm wondering what sort of topics use Math but not too much of rigorous testing models? Like I want to do something in financial engineering/derivatives and not Econometrics. I like arbitrage...would I be able to incorporate that somehow in the title? (I know arbitrage is one of the parts of the main essay)

The title can be as specific or not as you want it to be.

For your proposed topic, any decent undergraduate dissertation on FX volatility requires extensive use of econometrics: GARCH, VAR, etc.

Have a look at Quantitative Financial Economics by Keith Cuthbertson. Or maybe, if you're mathematically able, take a look at Econometrics by Fumio Hayashi or Econometric Theory by James Davidson.

i would've contributed something but then you bumped your thread 3 times in 2.5 hours and I decided against it

Yeah I suppose I dont mind using it, if thats what it takes. I was told that Financial engineering is more about using the models rather than deriving it. I looked at the syllabus for the Fin Engineering module and its pretty much what I wanna do. A dissertation is obviously a different cup of tea, but is the modelling part easier than what is usually covered in an Introduction to Financial Econometrics module?

I ask this here as my relevant supervisors aren't in the uni right now.

The issue is that it will depend entirely on how you want to approach your dissertation. Just by looking at the modules, Financial Econometrics is more the level given it has a lot more content on ARCH/GARCH modelling, but again I don't know the specific route you want to take with your dissertation.

The Financial Engineering module looks good as it will introduce you to a variety of financial models you can collect data for and run/test in your dissertation. It depends entirely on what you want to do. You don't necessarily need to use ARCH/GARCH modelling for FX volatility, you could use a factor model, but it would depend entirely on your title.

From your title in your original post, you would need to use a GARCH model to determine volatility over the long-horizon to isolate the effect of introducing futures. This promises to be an interesting topic, but requires heavy use of financial econometrics.

What you should really be doing is searching on JSTOR, EconLit, Elsevier, and even Google for articles on similar topics to yours. Read a few, get an idea from what they have done, see what is lacking in the research at the moment, and go from there. You won't need to create your own model from scratch, at most you will only need to augment an already used one.

You have too much time on your hands, if you're thinking so much about whether or not to contribute something

Regarding the topic: it is almost specific enough. If you would add the specific asset then it would be fine. For instace "an analysis of the introduction of oil futures on spot price volatility". I further think the topic as such is quite interesting as you will also learn a lot about the specific asset (class) that you investigate, apart from the sometimes rather dull econometric junk.

The issue is that it will depend entirely on how you want to approach your dissertation. Just by looking at the modules, Financial Econometrics is more the level given it has a lot more content on ARCH/GARCH modelling, but again I don't know the specific route you want to take with your dissertation.

The Financial Engineering module looks good as it will introduce you to a variety of financial models you can collect data for and run/test in your dissertation. It depends entirely on what you want to do. You don't necessarily need to use ARCH/GARCH modelling for FX volatility, you could use a factor model, but it would depend entirely on your title.

From your title in your original post, you would need to use a GARCH model to determine volatility over the long-horizon to isolate the effect of introducing futures. This promises to be an interesting topic, but requires heavy use of financial econometrics.

What you should really be doing is searching on JSTOR, EconLit, Elsevier, and even Google for articles on similar topics to yours. Read a few, get an idea from what they have done, see what is lacking in the research at the moment, and go from there. You won't need to create your own model from scratch, at most you will only need to augment an already used one.

no, you're making the topic worse through specificity here...

it's much more interesting to look at the general question in this case than a specific asset. firstly, with the single asset the tests will be nowhere near as strong and secondly, asking if volatility increases with the introduction of futures IS a valid topic with a lot of regulatory implications (and hence it's a topic that's been accepted in the top 3 finance journals which don't normally carry a lot of derivatives stuff). a single asset? doesn't really prove anything.

Any other suggestions on topics that involve spots and futures?

I see what you're saying, but we're talking about a BSc thesis. I suspect carrying out the study you suggest would be overkill considering the time frame and might hence result in a poor overall job.

Doing it on a single asset class may indeed prove something. There are a lot of specific asset-related issues affecting why or why not futures might make a difference.