Course Number (Including Section) and Course Name s4

Stevens Institute of Technology Howe School of Technology Management Senior Design Project, QF401

Semester: Fall 2014 Class Schedule: Thursday 3:00-5:30 pm Instructor Contact Information: Office Hours: Professor Hamed Ghoddusi Tuesday 11:00-noon Babbio Building, Room 417 Thursday 14:00-14:55 E-Mail: [email protected] Website: www.ghoddusi.com

Overview Senior Design Project is a two-semester experience beginning with QF401. The goal of the first part of the course is to provide you with basic skills for successfully performing high-quality research in finance and to help you choose a research topic to work on. The course will include both formal training sessions, on various aspects of research in finance, and an actual research project completed by students.

We will meet every week for 2-2.5 hours. The first part of the class will be devoted to lectures and discussions of research skills. In the second part of the class, students will present a short oral progress report on their own research project.

In the first part both the Professor and students will present. I will distribute slides for the topics in the course; however, students are also encouraged to consult recommended textbooks and references for additional information. In certain weeks one student group (2/3 students) will also prepare a 25-min presentation on one area of quantitative finance. Given the number of sessions, each of you needs to present once. The list of topics to be presented by students is provided in the syllabus part of this document.

During the semester you will hand in three reports of your research paper. I will read and comment on them. Next draft is expected to be a modified version of the previous one plus some new sections. Through this interactive process you will gradually develop your research paper.

The final outcome of the course (to be completed in QF402) will be presented as a poster during University’s Innovation Expo Day (most probably in April 2015). Recommended Textbooks and References:

- Ryan, B., Scapens, R. W., & Theobald, M. (2002). “Research Method and Methodology in Finance and Accounting”. - Greenlaw, S. A. (2005). “Doing Economics: A Guide to Understanding And Carrying Out Economic Research”. - Thomson, W. (2001). “A Guide for the Young Economist”. The MIT Press. - Kopka, H., & Daly, P. W. (2003). “Guide to LATEX. Pearson Education. - Carter, Designing Science Presentations: A Visual Guide to Figures, Papers, Slides, Posters, and More” - Rule, G. (2007). “Chicago Manual of Style”

Recommended Journals:

- Annual Review of Financial Economics - Journal of Economic Perspectives (JEP) - Journal of Economic Literature (JEL) - Finance Research Letters

Course Grading

 Team Component Grade: o 30% Interim Reports and Progress Presentations o 30% Draft of the Paper  Individual Component Grade: o 20% Attendance and Participation o 20% Finance Knowledge Presentation  Deliverables: o Report #1: 1-2 pages: description of your research topic(s) o Report #2: 4-6 pages: Modified report #1 + literature review o Paper Draft: 10-12 page written report (plus some optional appendices) Relationship of Course to Rest of Curriculum This course combines many of the course knowledge areas and quantitative finance skills, previously developed in the Quantitative Finance (QF) program courses, and package them in a research experience.

Moreover, the course aims to increase students’ specific skills in areas such as defining a finance research problem, reviewing the relevant literature, finding and analyzing data, and finally presenting results both in the form of a paper and an oral presentation.

QF students are likely to have research-related or model-building jobs. Thus, it is important to know how to use existing literature for practical purposes and how to present one’s findings in an effective way.

Learning Goals This course is designed to better prepare students for their transition into the professional work environment by completing a project, which allows students to put into practice concepts they have learned during their studies at Stevens. In many cases, the project will include doing research on a relevant finance topic. We will also focus on developing research-related skills, including:

- Writing effective and standard scientific papers and reports in Finance - Finding and using scientific databases and search engines (e.g. SSRN, Google Scholar, Science-Direct, etc) and journal articles - Identifying major data sources - Effectively presenting quantitative finance papers - Using specialized software (LaTeX) to prepare quantitative and professional reports - Detecting emerging trends in Finance

Additional learning objectives include the development of:

1) Written and oral communication skills: research reports and two formal presentations will be used to assess presentation skills

2) Team skills: the final project for the course will involve student teams. A team member evaluation survey will be used to evaluate team performance. Pedagogy Quantitative Finance Senior Design is a two-semester course sequence in which QF students are required to work on a “real-life” research project. Our approach is hands-on and will be taught in two parts: The first part of the class will be devoted to lectures and discussions of research skills. Slides will be handed out during each session and students will be encouraged to consult recommended textbooks and references for additional information. We will also have students presenting part of the research skills materials. In the second part of the class, students will present a short progress report on their own research project.

Ethical Conduct Stevens Honor System: Enrollment into the Undergraduate class of Stevens signifies a student’s commitment to the Honor System. It is the responsibility of each student to become acquainted with and to uphold the ideals set forth in the Honor System Constitution. All students are reminded that, as a condition of being admitted to Stevens, they will uphold and adhere to the standards of the Stevens Honor System. Specific student responsibilities include:  Maintaining honesty and fair play in all aspects of academic life at Stevens  Writing and signing the pledge, in full, on all submitted academic work  Reporting any suspected violations to an Honor Board member or to the Dean of Undergraduate Academics  Cooperating with the Honor Board during investigations and hearings Course Schedule

Session Date Main Topic Students’ Presentation 1 08/28 Introduction and overview of the course 2 09/04 Major approaches and scientific resources and journals in finance 3 09/11 Data sources in Finance Project updates (Lab session) 4 09/18 Guest Speaker Project updates 5 09/25 Presentation Skills for Credit Risk Models Finance (Guest Lecturer) 6 10/02 Using LaTeX to prepare Analytical Models of Finance Papers + Securitization Guest Speaker 7 10/09 Writing skills for Finance Analytical Models of Commodity (Guest Lecturer) Markets

Deadline for Report #1 8 10/16 Financial Management Conference, No Class! 9 10/23 Mini Conference: 15-min project presentations 10 10/30 Overview of techniques for Compliance and Bank Risk empirical research in finance Management Models 11 11/06 Industry Speaker Big Data Analytics in Finance 12 11/13 Using LaTeX-Beamer to Hedge Fund Strategies prepare finance presentations

Deadline for Report #2 13 11/20 Data Visualization in Quantitative Portfolio Finance Management - 11/27 Thanksgiving, No Class! 14 12/04 Final presentations: 20-min project presentations 12/11 Deadline for Final Paper

Key Dates:

Deadline for Report #1: 10/09/2014

Deadline for Report #2: 11/13/2014

Deadline for Final Paper: 12/11/2014