CF963, Autumn Term 2013-14
Learning and Computational Intelligence in Economics and Finance

		Course Supervisor: Professor Edward Tsang Phone: x2774 / Skype: bracil.net
		Graduate Teaching Assistant: Han Ao
		Distinguished Guest Speaker: Dr Amadeo Alentorn Old Mutual Asset Managers (UK) Ltd and Visiting Fellow, CCFEA
		Distinguished Guest Speaker: Dr Michael Kampouridis School of Computing, University of Kent and Visiting Fellow, CCFEA

Overview

Computational finance refers to research that applies advanced computation methods to finance with the aim to exploit synergy. This typically involves the use of advanced computing techniques, such as computational intelligence, to studying problems in economics and finance. This module explores the synergy between advanced computation methods and finance and economics. Advanced computing methods have been applied to forecasting, bargaining, portfolio optimization and algorithmic trading. Machine learning plays an important role in many of these applications.

Timetables:

• Lectures: Room 5S.4.9, Mondays 11:00-12:50, starting 7th October 2013 (Week 2)
  Guest Lecture by Dr Michael Kampouridis: EDDIE for Forecasting / Monday 4 November 2013 (slides)
  Guest Lecture by Dr Amadeo Alentorn: Portfolio Optimization / Monday 2 December 2013
• Class: Room 5B.111A, Mondays 16:00-16:50, starting 21st October 2013 (Week 4)

Syllabus and Lecture Notes (Moodle)

Reading List

Assignment, by electronic submission only:

• Algorithmic trading using directional changes; deadline: Wednesday 11 December 2013 11:59:59
  Specification / Data to use / Sample Strategy by Ao Han New

Moc Exam Questions and Tests

Student Supports:

• For technical consultation, contact Edward Tsang, course supervisor
• For administrative support, contact the General Office / Room 4.514 / Phone: +44 1206 874876 / Email at essex.ac.uk: csee-schooloffice
• For non-academic problems, advices are available from Professional Counselling services