Monday June 4 in building 320 room 105.
4:00-4:20 team 1b [presentation report]
4:20-4:40 team 1a [presentation report]
4:40-5:00 team 2 [presentation report]
5:15-5:35 team 3 [presentation report]
5:35-5:55 team 4 [presentation report]
5:55-6:15 team 5 [presentation report]
Instructor: Kay Giesecke, office hours: Tues. 3:30-6, Terman 414
TA: Benjamin Armbruster, office hours: Mon. 4:30-6:30, Terman 499
Lectures: Monday Wednesday 4:15-5:30, in 540-108.
NYSE Trade and Quote (TAQ) database. (projects 1 and 2)
VIX (volatility index) data from the CBOE Indexes database. (project 2)
Options prices from the OptionMetrics database. (projects 4 and 5)
Earnings announcements from FirstCall database. (project 4)
Econometric modelling of stock market intraday activity by Bauwens and Giot, (contains overview of the TAQ database).
Analysis of financial time series by Ruey S. Tsay (2nd ed.).
An Introduction to High-Frequency Finance by Dacorogna et al.
Nonlinear Diagnostics, Simple Trading Rules, and High Frequency Foreign Exchange Rates by Blake LeBaron (book chapter).
The projects are described in this document and the slides of the first lecture.
For projects 1 and 2: Two papers [1 and 2] providing background on self-exciting processes. Also papers Hewlett 2006, 2, 3, 4, and Large 2006, Engle and Russell 1998, Engle 2000, Dufour and Engle 2000, Lee and Ready 1991, Sarkar and Schwartz 2006, Ogata 1978, Ogata 1986.
For project 2: theoretical model papers 1, 2, and 3.
For project 3: paper 1, paper 2, and paper 3. Two pieces of matlab code MCSurvivorSimulation.m and p.m. There was a group in this class that worked on a similar problem in 2004: report and slides.
For project 5: a list of events from which an insider could have profited. Donoho 2004, Goldberg 2003, Fawcett and Provost 1999.
Project 1 team A: Vassil Chatalbashev, Ethan Liang, Ari Officer, Nikolaos Trichakis
Project 1 team B: John Gunnar Carlsson, Mao Ching Foo, Hui Huang Lee, Howard Howan Shek
Project 2: Yongyang Cai, Baeho Kim, Matthew Leduc, Kamil Szczegot, Yang Yixiao, Manuel Zamfir
Project 3: Will Haber, Francisco Javier Godoy, Jack Kim, Mike Kokalari, Pui Kong Wilfred Wong
Project 4: Geoffrey Evans, Pablo Jadzinsky, Yu Lau, Jianlin Wang, Ryan Williams
Project 5: Youdan Li, Elaine Ou, Florin Ratiu, Pawit Sangchant, Yantao Shen
Assignment for Monday April 16: each team should send us an email giving a status update (~2 paragraphs) and attach a beautiful and interesting graph relevant to their project.
Jeremy Evnine and Lisa Borland of EvA will come to class Wednesday April 11, 550-550a. Jeremy mentioned Susquehanna.
Posted the slides for the last lecture, see below.
We will meet with the teams in Terman 499: Monday 4-4:20 project 1, 5:40-6 project 2, 4:40-5 project 3, 5-5:20 project 4, Tuesday 5:00-5:20 project 5.
On Monday April 9, there will be no lecture.
We selected teams and notified the students on the teams by email (7pm 4/5/07).
The first class meeting will be Wednesday April 4 from 4:15-5:30 in 550-550a (a new room). The slides.
Please, fill out an application form (because more people want to take this class than there are slots). The form is due on Thursday April 5 at 1:30pm in the box outside 418 Terman or alternatively in the first class.
A rough sketch of the projects is here (updated 4/3/07).