MS&E 444 Investment Practicea finance project class.Spring 2010 |
Instructor: Kay Giesecke,
Terman 414, CA: Gerry Tsoukalas , Terman 467, Weekly Team Meetings: Wednesdays 4:15-5:45, Terman Room 401 |
05/26/2010:
Here are some more details concerning the schedule for the rest of the class:
-Your presentations will be on June 2nd starting at 4pm, room 260-113 (in the same
order as the Wednesday meetings). They should be max 15 minutes long, and there will be a
10min Q&A session. The teaching staff and EVA will be present.
The rest of the material is due one week later on June 9th by noon. The materials include:
-A written report (try to stay below 15 pages if possible), be as concise as possible, include
proofs in extra pages in Annex if needed, but be detailed enough so that any future students
could eventually reproduce your results by reading it. You can view past years by clicking
on the links at the top left of the page.
-A clean and executable version of your code + data you used to obtain your results.
This could be important for any future students that may be able to build on your results and
extend the research further so please make sure it's understandable and that it works.
Please let us know if you have any questions
04/01/2010:
The project teams have been finalized. Check the allocations here.
We were able to accomodate most teams' preferences although not all,
so please do contact us immediately if there are any big issues.
The first meeting
with the teaching staff will be next Wednesday 7th of April in Terman room 401
(there are no meetings on Mondays). Be sure to get in touch with your team colleagues
and meet with each other once before then. Ideally it would be good to
have read the relevant papers already, or if none are available yet, to at least do
some preliminary searching on google on your topic. See you all on Wednesday!
03/31/2010:
Added slides from today's in-class presentation on the different projects.
03/29/2010:
The list of suggested projects is available here. See resources for paper refs.
Also the submission deadline for the applications for the class has been
moved to this Thursday April 1st, 2pm. Submit them in the box outside of
Terman 418 in hard copy. Also submit electronically to mse444class@gmail.com.
03/27/2010:
First week of class to be held MW 4:15PM - 5:30PM, Location: 260-113. After that
there will be only team meetings once a week on Wednesdays.
In order to be accepted in this class, in addition to registering on Axess you also need to
fill out an application form. Please fill this form out and bring it to the first class or drop it
off in the box outside Terman room 418, latest by 2pm on Tuesday 3/30/2010. Please
also send the completed form electronically to mse444class@gmail.com.
03/18/2010:
Details of the class will be up soon
1/ Since this is a project-oriented class there are no formal weekly lectures however there
will be 2 mandatory sessions at the beggining of the term to discuss the projects:
-The first class will be held on TBD, Room TBD, during which the class organization will be explained.
-The list of suggested projects will be presented during the second class TBD.
These projects will subsequently be listed on this webpage. Note, representatives from the
EvA Hedge Fund (including the founder and head of research) will be present.
Please make sure to attend both of these classes.
2/ Final Project presentations will be due TBD
Project presentations will consist of 10 min talks + 10 min QA
Written reports will be due on: TBA
3/ Please also be sure to submit the application form to be considered for the class.
Work in small teams on cool projects developed with San Francisco based
hedge fund. No prior knowledge in finance necessary (won't hurt), but strong
quantitative skills for tackling data-rich problems are key. Projects include
hedge fund replication, detection of insider trading, connecting volatility and
correlation, using behavioral models for bet-sizing, etc. See 2009 website for
examples.
Teams (up to 4-5 people) should have a broad range of skills. If you don't have
a team already, then come to the first class to network and form a team.
Limited enrollment so please submit application form to apply for registration.
Strong undergraduates welcome.
Since the enrollment in this class is limited (to approximately 30 students),
we ask each student to submit an application, and
then by April 3rd we'll let
people know which teams were selected via email, and this website.
Please download the application form, fill it out, and return it before the
given deadline.
Available here.
Projects developed in collaboration with the hedge fund EvA.
| Team id | Project Allocated | Students | Time Slot | Reports | Slides | Code |
| 1 | Project 1 - Shorting | Yu, Lin, C. Chen, S. Chen | 4.15-4.30 | req. |
||
| 4 | Project 4 - Stat Arb | Jreige, Chamoun, Georgoudis, Blokker, Galal | 4.30-4.45 | req. |
||
| 6 | Project 6 - Correlation | Hassid, Edery, Hsu, Wei, White | 4.45-5.00 | req. |
||
| 8 | Project 8 - Order Book | Zhou, Chen, Lu, Hu | 5.00-5.15 | req. |
req. |
Paper on hard-to-borrow stocks - Avellaneda, Lipkin 2009
Paper on Statistical Arbitrage - Avellaneda, Lee 2008
VIX (volatility index) from the CBOE Indexes database.
Options prices from the OptionMetrics database.
Earnings announcements from the FirstCall database.
NYSE Trade and Quote (TAQ) database.