Reading for 25 April:
Reading for 11 April:
An afterthought from our risk class on 4 April:
Reading for 21 March:
Reading for 14 March:
The reading to prepare for the 14 March 2008 lecture is as follows:
- (Before class) Finish Kevin Murphy's tutorial on graphical models.
- (Before class) Welch and Bishop, An Introduction to the Kalman Filter
- (Before HW5) L. R. Rabiner, A Tutorial on Hidden Markov Models and Selected Applications in Speech Recognition, Proceedings of the IEEE, vol 77, no 2, 257--287, 1989.
- (Before HW5) T. Ryden, T. Terasvirta, and S. Asbrink, Stylized Facts of Daily Return Series and the Hidden Markov Model, J. Applied Econometrics, 13, 217--244, 1998.
There are 2 handouts about HW3 questions:
Reading for 7 March:
Reading for 29 February:
There are two papers on artificial neural networks applied to finance, and
one on ARCH/GARCH models for nonlinear time series, which will be revelant
in our future reading.
Reading for 22 February:
- Linear Classifiers:
We will develop the linear classifiers in class.
- Support Vector Machines
- Neural networks:
Reading for 15 February:
Voit: (PDF Part 1, PDF Part 2)
Chap 4, except 4.5.8 on volatility indices
Chap 5 : 5.1 to 5.4 and 5.6.4
Chap 7: 7.1 to 7.4
Your peers' submitted homeworks on asset classes from last week
are not required reading.
Reading for 8 February:
- Voit, Chapters 1, 2
You should study Chapter 2 as thoroughly as possible;
while it is brief, it is crucial. Chapter 3 is optional this week.
- Taleb, Chapter 10
PDF, pp. 135-161
PDF, pp. 162-164
- Lo and MacKinlay: Introduction, Chapters 1, 2
- [Now Optional for this week] Ross, Chapters 4-6
You will need to be familiar with the material in chapters 1-3.