Sample assignments (crossing several programming languages)
- Programming basics: SQL, database operations, file operations, graphical user interface design, object-oriented programming, XML, JSON, COM, API, etc.
- Simulation modeling, optimization modeling: Evaluation of investment strategies using Monte-Carlo simulation; Multi- stage optimization
- Asset diversification and efficient frontiers: Minimum variance portfolio, given constraints using quadratic programming
- Portfolio risk measure with Value-at-risk (VaR): VaR computation using historical data and bootstrapping technique
- Derivative Pricing: Derivative pricing using Black-Scholes, binomial tree, Monte-Carlo; Bond arbitrage using linear programming
- Asset pricing models: Factor models (Regression, factor analysis, and principal component analysis). Modeling asset price dynamics (binomial trees, arithmetic random walks, geometric random walks, mean reversion, geometric mean reversion)
- Investment Management: Efficiency of investments using data envelopment analysis. Stock price movement using association analysis and/or clustering analysis
- Credit risk and social media: Credit scoring using data mining methods and publicly available datasets. Credit scoring using data mining methods and social media data from Linkedin, Facebook, and Twitter
Registration for Fall is open, request a permission number for Financial Programming and Modeling (MATH 5800 - 030, or MATH 5670 starting Spring 18) or/and Financial Data Ming and Big Data Analytics (MATH 5800 - 031, or MATH 5671 starting Spring 18) if interested.
Registration for the Data Science Initiative is only open during semesters. This forum supports professionals, as well as students who want to pursue the data scientist job through activies such as joined forced projects, invited talk at UConn, research discussion within the group, and local conferences.