Here are some suggestions. They might be more suited for a masters thesis as they are very challenging. They are some problems I've been looking at.
Implement a GMDH (
GMDH method for forecasting algorithms, fuzzy models analysis) that forecasts a currency pair.
Build a library on top of a functional programming languge like Haskell or F# (
http://research.microsoft.com/fsharp/fsharp.aspx) for building EAs in that langugage.
Implement a library for building trading systems using Fuzzy Logic.
Implement an LSTM recurrent network (
RECURRENT NEURAL NETWORKS) for forcasting a currency pair.