ECE 69500 - Financial Engineering

Note:

Fall 2009 CRN 17892

Course Details

Lecture Hours: 3 Credits: 3

Counts as:

Experimental Course Offered:

Fall 2009

Requisites:

Prerequisites: ECE 301 and ECE 302 or equivalent Concurrent Prerequisites: graduate standing

Catalog Description:

Over the past 20 years, the financial industry has become a very significant employer of electrical engineers with advanced degrees. This course will introduce a number of electrical engineering techniques and models widely used in finance. It will cover market microstructure, execution algorithms, time series analysis tools, portfolio optimization, risk analysis, and some topics from behavioral finance.

Required Text(s):

None.

Recommended Text(s):

  1. Inefficient Markets: An Introduction to Behavioral Finance Finance , Andrei Shleifer , Oxford University press , 2000 , ISBN No. 0198292279
  2. Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk , 2nd Edition , R.C. Grinold and R.N. Kahn , McGraw-Hill , 1999 , ISBN No. 0070248826
  3. Behavioural Finance: A User's Guide , J. Montier , Wiley , 2002 , ISBN No. 0470844876
  4. Mean-Variance Analysis in Portfolio Choice and Capital Markets. 1883249759. , H.M. Markowitz and G.P. Todd. , Wiley , 2000 , ISBN No. 1883249759
  5. Portfolio Selection : Efficient Diversification of Investments , 2nd Edition , H.M. Markowitz , Wiley , 1991 , ISBN No. 1557861080
  6. Time Series Analysis , J.D. Hamilton , Princeton University press , 1994 , ISBN No. 0691042896

Lecture Outline:

Weeks Major Topics
2 Basic market mechanics and microstructure
2 Algorithms for scheduling order execution while minimizing market impact
1 Model performance analysis, risk analysis
3 Portfolio optimization
2 Time series analysis
4 Efficient market hypothesis, behavioral finance and prospect theory
1 Exams

Assessment Method:

none