Homework 1 Description and Teams Due Thursday, 7 February 2008, 11:59 pm by email You will present your work IN CLASS on Friday, 8 February, 2008. You may prepare slides (again, I recommend printing to PDF) or use the blackboard; all students will be provided a copy of your response as part of the course. Please email your teammates early and work out how you will distribute your work. If you are concerned about understanding your topic, please contact me at once. If someone you know is in the class and not on the list, or you are no longer in the course, please let me know. --------------------------------------------------------------------- Using the Internet and published works, prepare a discussion of your asset class from a "computer science" angle. That is, when we study price movements and other aspects of the asset class, what are the data like? Your groups are encouraged to "divide and conquer" by having different students answer different questions, but everyone should review your final answers. One paragraph should suffice for each answer; please be concise. 0. Summarize your asset class. What is it? How are its assets valued? For what reasons do investors trade in it? What are the primary risks of holding the asset? 1. How are your assets traded? Where in the world are they traded? Where do quote and trade data come from? 2. How much volume is traded, in notional terms, each day? How much cash is typically required to control $100,000 of notional value of your asset? 3. What are the typical transaction costs in trading your asset? Commissions and fees per trade? As a percentage? What is a typical bid/offer spread (in terms of basis points)? 4. Choose one major market for your asset class, e.g. NYMEX for commodities or NYSE for equities. Count the number of, and estimate the amount of data in using (kilo/mega/giga/tera)bytes, the following corpora: a) Trades in 1 day and 1 year across the universe of assets b) Quotes in 1 day and 1 year across the universe of assets 5. Characterize the distribution of 4a/4b for a three representative assets in your assigned asset class with very different trading patterns. 6. Aside from trade and quote data, name at least two other sources of information that may have material bearing on future price movements in this market. Discuss where to obtain these data and the magnitude of these ancillary data. 7. Describe an interesting event where prices moved dramatically in this market and discuss what forces (economic or otherwise) may have led to that event. These are the groups for Homework 1. Some groups are larger because their asset classes are more diverse, and may wish to answer 0-3 for a few major subclasses. For example, within the context of "Fixed Income," your team might think about central bank bonds, municipal bonds, and corporate bonds---all of which have a diverse set of subsubclasses! (To keep things brief, pick a single major market center for 4-7.) Equities zhu4@fas.harvard.edu budapest@fas.harvard.edu rgarcia@fas.harvard.edu ddemetri@fas.harvard.edu bayers@fas.harvard.edu Fixed Income diaconu@fas.harvard.edu bkate@fas.harvard.edu ahaan@fas.harvard.edu nylund@fas.harvard.edu shoag@fas.harvard.edu Mutual Funds, Index Funds, ETF's scao@fas.harvard.edu syhuang@fas.harvard.edu yalimiao@fas.harvard.edu FX / Currency tlevy@hbs.edu sschiang@fas.harvard.edu philip.owrutsky@gmail.com hochbaum@fas.harvard.edu Commodities Futures bdieph@fas.harvard.edu mdaniels@fas.harvard.edu cmonsen@fas.harvard.edu serban@fas.harvard.edu kalyans@eecs.harvard.edu Options: calls, puts, types of spreads milnes@fas.harvard.edu tompkin@fas.harvard.edu vasilyev@fas.harvard.edu romeiro@fas.harvard.edu Specialized credit derivatives: CDO's, mortgage-backed securities, etc gueant@fas.harvard.edu afenjar@fas.harvard.edu ysmadja@fas.harvard.edu galam@fas.harvard.edu cornut@fas.harvard.edu benzimra@fas.harvard.edu Swaps, Swaptions, etc. sshah@fas.harvard.edu stchang@fas.harvard.edu antos@fas.harvard.edu azar@fas.harvard.edu Unexpected Derivatives (VIX, weather, housing, carbon trading, .) yuen@seas.harvard.edu zliu@fas.harvard.edu khlam@fas.harvard.edu Course Submission Policy: Please email your solutions as plain text, PostScript, or PDF. NO MS Word, please -- print it to PDF. If you use Word, CutePDF Writer is a free program to create PDF's from a virtual Windows printer, and Mac OS X provides "Save to PDF" from the Print dialog.