15.450  Analytics of Finance

Final Exam Schedule

The final examination for 15.450 is scheduled for Thursday, May 24 from 9:00 to 12:00 Noon in E62-276.

Announced on 16 May 2018  11:33  p.m. by Hui Chen

Q&A for Final Project (check for updates)

1. There's a single data point in the Borders data with a return of 3.33333. Is this a real data point?

Answer: Yes.

2. Should we stick to the monthly data provided to the project or can we use data from other sources (e.g., daily data)?

Answer: Please only use the monthly data provided in the project.

3. In Q2, what does "Support your finding with statistical evidence" mean?

Answer: Measure the magnitude of the effect in the data and test whether it is statistically significant or not.

4. Quarterly earnings are filed after the end of the fiscal quarter. Do we need to find out the exact filing dates?

Answer: Since no filing date information is provided in the project, you should not be looking at strategies that require the exact filing dates. Instead, make a reasonable assumption if needed.

5. Questions about what firms to include in the study, and how to compare/measure seasonality.

Answer: Feel free to do what you think is necessary and reasonable. State your assumptions clearly and try to justify them in your memo.

Announced on 11 May 2018  10:32  a.m. by Hui Chen

Guest Lecture on April 25, 2018

For tomorrow's lecture, we have Mikey Shulman from Kensho to tell us what his team is working on with finance analytics, in particular how they work with textual data. (We will be taking attendance for this lecture like the regular lectures.)

Mikey is head of machine learning at Kensho (now part of S&P Global), a financial technology company that services the banking industry as well as the intelligence community. Prior to joining Kensho Mikey received a PhD in physics from Harvard University where he studied quantum computing. At Harvard, Mikey built a two-bit quantum processor and he published work using machine learning both to improve the efficiency of quantum computers and to understand trends in physics research. Mikey graduated summa cum laude with a BS in applied physics and mathematics from Columbia University.

Announced on 25 April 2018  3:25  p.m. by Hui Chen

DataCamp Access

If you use DataCamp, you can now access its premium features for free through our Analytics of Finance class site. Use the link below to sign up. Thanks to Hassaan Bin Zahid for helping make this happen!

https://www.datacamp.com/groups/shared_links/80c8847d662c87a5327fc12ab29ed09c5464e34e

Announced on 13 April 2018  10:53  a.m. by Hui Chen

15.450 cancelled today (3/13)

Dear all,

MIT is closed today due to the snowstorm, and our 15.450 class is cancelled. Stay safe and warm.

With no class, it is a perfect opportunity to catch up on the readings posted on Stellar (two in particular, “New Facts in Finance “ and “The Pre-FOMC Announcement Drift”). On Thursday we will begin covering financial time series.

Best,
Hui

Announced on 13 March 2018  10:14  a.m. by Hui Chen