ECE 69500 - Financial Engineering

Course Details

Lecture Hours: 3 Credits: 3

Counts as:

Experimental Course Offered:

Fall 2009, Spring 2012, Spring 2015

Requisites:

ECE 30100, 30200 and MA 35100 or equivalent.

Requisites by Topic:

Solid programming skills (C,C++, or Matlab)

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. 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
  2. Behavioural Finance: A User's Guide , J. Montier , Wiley , 2002 , ISBN No. 0470844876
  3. Inefficient Markets: An Introduction to Behavioral Finance , Andrei Shleifer , Oxford University Press , 2000 , ISBN No. 0198292279
  4. Mean-Variance Analysis in Portfolio Choice and Capital Markets , H.M. Markowitz and G. P. Todd , Wiley , 2000 , ISBN No. 1883249759
  5. Portfolio Selection: Efficient Diversification of Investments , 2bd Edition , H.M. Markowitz , Wiley , 1991 , ISBN No. 1557861080
  6. Statistics and Data Analysis for Financial Engineering , D. Ruppert , Springer , 2010 , ISBN No. 1441977864
  7. 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