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Rotating topics
previous years
Computational Mechanism Design: Spring, 2002
Electronic Market Design: Spring, 2003
Iterative Combinatorial Exchanges: Spring, 2004
Computational Mechanism Design: Spring, 2005
Multi-agent Learning and Implementation: Spring, 2006
Computational Mechanism Design: Spring, 2007
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Course Description
Topic for Spring 2008: Computational Finance
Note: Enrollment in this course will be restricted.
Office hours by appointment.
Applications of computer science to the study of modern financial markets.
Motivation of finance as a source of important, interesting problems.
Introduction to major markets, asset classes and market data.
Characterization of price movements: random walks,
``crashes'', ``momentum'', mean reversion, etc.
Mathematical financial models.
Study of modern artificial intelligence (AI) tools and their
applications, not only in finance but also in other research areas.
Scientific computer analysis of large-scale data corpora to
investigate hypotheses in finance research.
Examination of behavioral finance with respect
to human and computer traders in markets.
Applications of AI in derivative pricing,
time series analysis and price prediction, risk analysis.
Discussion of terabyte-scale and millisecond-response-time
systems challenges associated with
analysis and trading in modern financial markets.
Market impact of trading; reasoning about other traders.
Applications of cryptography in securities trading.
Students will choose a final project from open finance research
questions, or instead build an automated trading agent with an
interface to professional-grade trading software.
Prerequisites
In addition to fundamental courses in mathematics
(such as Math 21a,b, AM 21a,b, or equivalent),
students should have either a strong background in
computer science or in economics and finance.
Those with a computer science background
should have taken at least CS 124 (algorithms),
and CS 182 or 181 (artificial intelligence) or equivalents.
Those with a finance background should have taken
Economics 1723 and 1760 and their prerequisites, or equivalents.
Syllabus
The draft syllabus (subject to minor changes) is
here.
There is also an
HTML version.
(These links open in a new tab or window).
Readings
Previous weeks' readings are archived on the
CS286r Readings page.
You should understand what the following concepts mean, though
you need not master the math/number theory behind them.
We briefly summarize them in the first paper, but
you might find Internet resources helpful in understanding
the core concepts.
- Encryption and Decryption
- Probabilistic encryption
- Homomorphic encryption
- Cryptographic Commitments
The readings to prepare for the 2 May 2008 lecture follow:
The readings to prepare for the 25 April 2008 lecture are as follows:
There are 2 handouts about HW3 questions:
Homework Assignments
Homework 1 (due 7 Feb 2008, 11:59 pm)
Homework 2 (due 14 Feb 2008, 11:59 pm)
Homework 3 (due 25 Feb 2008, 11:59 pm)
Homework 4 (due 10 Mar 2008, 11:59 pm)
Homework 5 (due 20 Mar 2008, 11:59 pm)
Project Proposal Guidelines (due 4 Apr 2008, 12:00 noon)
Homework 6 (due MONDAY, 28 Apr 2008, 11:59 pm)
Handouts
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