Spring 2009

Announcements

06/16/09:
Final Group Projects have been posted and are available here.

06/01/09:
Please note the Room for the final presentations has been changed to: 200-107 (the same room we had during the first class)

05/26/09:
MS&E 444 Final Group Presentations:
Date/Start Time: Wednesday June 3rd, 4:15pm
Location: Building 200, Room 107 (same room as the first class, in the History Corner of the Quad)
Important: Please bring 5 hardcopies of your slides to the presentation for the Teaching Staff

Dear Teams,

The Final Project presentations for MS&E 444 will be on Wednesday June 3rd,  at your
usual allocated time slots. This means you will only have 15 minutes total per team - 10 min
for the presentation and 5 for questions. Allocated time will be strictly enforced to avoid delays.
Given the tight timeline please practice beforehand, and we recommend that only 1 person
presents per team. Also, both Lisa and Jeremy from EVA are going to be present so expect
to face questions!

Concerning the written reports, the final submission deadline is 11:59pm on June 10th.
As a preference, please submit the reports in paper form in the box outside 418. Early
submissions are of course always welcome. In terms of the content,  please be sure to
discuss the important issues faced, the difficulties, solutions and detailed results. You can
keep it brief but the idea is that anyone should be able to read your report, understand it,
and be able to reproduce your results if they wanted to.

Lastly, please also submit to us when you're done, by email, one zip file containing
all the materials including reports, slides and working code (in any language matlab,
Java, C etc..).

04/07/09:
Team allocations are done. Please click here for details. Contact us if you don't see your name
or for any other problems...
The weekly team meetings will be held on Wednesdays starting tomorrow 4/08.
Please take note of your team time slot and make sure you're on time. If you are not present during
your time slot, your team will lose its turn. Also make sure to prepare the meetings before-hand.
They are only 15 minutes long and so there must be adequate preparation on your end to make
sure they are productive.

04/06/09:
Please find the list of projects that were presented in class today here.
As discussed, the weekly meetings will be held on Wednesdays 415-530 pm (room will be
announced shortly). Each team will be allocated a time slot in that interval. There will also
be office hours held as per the top of this page.

04/01/09:
Concerning the projects, we will need a little more time to put them together and thus were
not able to present them to the class today. We are postponing the deadline for submission
of the application forms to Monday 04/06/09 at midnight. Monday afternoon we will have
the project pitch, so after that you will know very well what to expect in each project, and
you can state your preference. We will let you know by Tuesday noon the team composition
and assigned projects. In the case that we get the project descriptions before Monday, we
will update the deadline accordingly and inform you about it.

03/26/09:
1/ Since this is a project-oriented class there are no formal weekly lectures however there
will be 2 mandatory sessions at the beggining of the term to discuss the projects:
-The first class will be held on Wednesday April 1st, 4:15-5:30pm, Room 200-107, during
which the class organization will be explained.
-The list of suggested projects will be presented during the second class on Monday
April 6th, 4:15-5:30pm, room 200-107. These projects will subsequently be listed on
this webpage. Note, representatives from the EvA Hedge Fund (including the founder and
head of research) will be present. Please make sure to attend both of these classes.

2/ Final Project presentations will be due Wednesday June 3, 2009
Project presentations will consist of 10 min talks + 10 min QA
Written reports will be due on: TBA

3/ Please also be sure to submit the application form to be considered for the class.

Class Description:

Work in small teams on cool projects developed with San Francisco based
hedge fund. No prior knowledge in finance necessary (won't hurt), but strong
quantitative skills for tackling data-rich problems are key. Projects include
hedge fund replication, detection of insider trading, connecting volatility and
correlation, using behavioral models for bet-sizing, etc. See 2008 website for
examples.

Teams (up to 4-5 people) should have a broad range of skills. If you don't have
a team already, then come to the first class to network and form a team.
Limited enrollment so please submit application form to apply for registration.
Strong undergraduates welcome.

Application Form

Since the enrollment in this class is limited (to approximately 30 students),
we ask each student to submit an application, and then Tuesday April 7th we'll let
people know which teams were selected via email, and this website.
Please download the application form, fill it out, and return it at the latest, by Monday
April 6th at midnight, in the box in front of Terman 418. No email submissions please.

Proposed Projects

Projects developed in collaboration with the hedge fund EvA.
Brief Description of Projects, Class slides

Team Allocation

Resources

Yahoo finance

VIX (volatility index) from the CBOE Indexes database.

Options prices from the OptionMetrics database.

Earnings announcements from the FirstCall database.

NYSE Trade and Quote (TAQ) database.