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MTH 9816 Fundamentals of Trading

1.5 (7 Weeks; 3.0 Hours per week) Hours; 1.5 Credits This course familiarizes students with how financial markets operate and the roles of market participants. Students are introduced to various securities and derivatives, order types, and investment objectives. Emphasis is placed on building financial models and applications to help recognize the potential returns and risks [...]

MTH 9816 Fundamentals of Trading 2016-10-20T16:27:53+00:00

MTH 9901 Independent Study – Internship

1-3 Variable Credits Students register for this course if they are doing an internship in a financial institution. Advisor approval required for registration. Prerequisite: MTH 9814, MTH 9843.

MTH 9901 Independent Study – Internship 2016-06-08T22:19:41+00:00

MTH 9899 Data Science in Finance II: Machine Learning

1.5 (7 Weeks; 3.0 Hours per week) Hours; 1.5 Credits This course covers machine learning prediction techniques in the context of efficient markets. Students will test these techniques in the context of various trading strategies and investigate correlations with maker directional movements. (This course is not open to students who completed MTH 9884.) Prerequisites: MTH [...]

MTH 9899 Data Science in Finance II: Machine Learning 2016-06-08T22:16:05+00:00

MTH 9898 Data Science in Finance I: Big Data in Finance

1.5 Hours; 1.5 Credits This course focuses on developing tools in C++ to work with financial big data. Topics include efficient file formats for big data, parallel data structure and algorithm, and data cleaning, pattern recognition using C++/GPU. The objective of the course is to have each student build a Big Data toolbox in C++. [...]

MTH 9898 Data Science in Finance I: Big Data in Finance 2016-06-08T22:16:15+00:00

MTH 9896 BEHAVIORAL FINANCE

1.5 Hours; 1.5 Credits This course covers different areas of behavioral finance such as emotional finance, experimental finance, as well as psychological concepts and behavioral biases. Students will use heuristic rules to analyze movements of the markets in extreme market conditions and estimate the behavioral risk. MTH 9814

MTH 9896 BEHAVIORAL FINANCE 2016-06-08T22:16:23+00:00

MTH 9894 ALGORITHMIC TRADING

1.5 Hours; 1.5 Credits This course covers implementing algorithmic trading strategies and evaluating their performance. The risk management of algorithmic trading strategies, as well as their execution and monitoring are also covered. Note: Students cannot receive credit for both MTH 9867 and MTH 9893. MTH 9814, MTH 9815, MTH 9831

MTH 9894 ALGORITHMIC TRADING 2016-06-08T22:16:34+00:00

MTH 9893 Time Series Analysis

1.5 Hours; 1.5 Credits This course covers univariate and multivariate time series analysis, conditional heteroscedastic models, principal component analysis, and factor models. Students will learn about implementing univariate and multivariate volatility models. Note: Students cannot receive credit for both MTH 9867 and MTH 9893. MTH 9814, MTH 9815, MTH 9831

MTH 9893 Time Series Analysis 2016-06-08T22:16:41+00:00

MTH 9891 INTRODUCTION TO APPLIED FINANCIAL ECONOMETRICS

1.5 Hours; 1.5 Credits This course covers statistical and econometrics methods with applications to finance. Topics include regression models (OLS, ARMA), panel data analysis, GARCH models, PCA, and stationarity/co-integration. These methods will be implemented in Matlab or R. MTH 9814; MTH 9831

MTH 9891 INTRODUCTION TO APPLIED FINANCIAL ECONOMETRICS 2016-06-08T22:16:48+00:00

MTH 9883 DEAL THEORY & STRUCTURING

1.5 Hours; 1.5 Credits This course provides hands-on experience with the valuation of structured securities using covariance matrix analysis and Monte Carlo techniques to analyze the probability of credit losses. A sample deal is synthesized by building a cash flow engine using Markov chains and the Banach fixed point theorem to estimate ill-posedness. Mth 9848

MTH 9883 DEAL THEORY & STRUCTURING 2016-06-08T22:16:57+00:00

MTH 9882 FIXED INCOME RISK MANAGEMENT

1.5 Hours; 1.5 Credits This course covers fixed income products with emphasis on mortgage products. Students will learn to estimate the risk associated with fixed income products portfolios by using quantitative models. Special emphasis will be placed on explaining the pitfalls of the models before the financial crisis and how they have changed post crisis. [...]

MTH 9882 FIXED INCOME RISK MANAGEMENT 2016-06-08T22:17:04+00:00