Fall 2015 Computer Science 458 11/02/15

Announcements

I have to attend a funeral Wednesday morning. I will not have office hours, but I will be back in time for class.
Final projects. You should post your final project proposal to classes v2 in the assignments folder. We will review for approval.
Office hours. Ronghui Gu is holding office hours at 305 AKW.
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Wednesday 2-4 pm.
Thursday 7-9 pm.
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Kun Run has office hours at 203 AWK.
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Monday 7-9 pm
Friday 10am - 12pm
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Last Wednesday's speaker was Aaron Brown. He is one of the pioneers of risk management. He left some recruitment brochures for AQR.
He sent me the following email, given the level of interest in bitcoin during his lecture.
I thought your students might be interested in this column by Izabella Kaminska at Alphaville. She's been writing generally dismissive stories about bitcoin and related ideas, and she's up to part 80. In this one she cheekily suggests that using a blockchain for financial clearing is a way for techies to play around in a sandbox—without hurting anything—to discover for themselves why finance has to be done differently.
http://ftalphaville.ft.com/
If you call it a blockchain, it’s not a single-entry system
Techies look upon the financial world and find its messy structures hard to reconcile with the physical reality around them. Which is why we’re going to propose that the blockchain fad is mostly about putting finance in terms that are understandable to techies — i.e. as something absolute – and having them learn for themselves through trial and error why that’s actually a flawed assumption in finance.
Today's Guest Speaker is Paul Gu from Upstart. Here is a link to his presentation. There will be dinner at Mory's afterwards. Here are the students and alternates.
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5 Wei Sheng
15 Steven MacLean
6 Kevin Tan
2 Charles Chen 
11 Chris Datsikas

Alternates:
4 Rachel Ha
9 Stephen Hemenway
7 William Bailey
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Wednesday's Guest Speakers are Charlie Sharzer and Nikola Chonkov from Palantir. There will be dinner at Mory's afterwards. We will have a lottery.
Next Monday's Guest Speaker is Jon Feldman from Google. There will be dinner at Mory's afterwards. We will have a lottery.

Feedback

I received the following from Dean Holloway:

With midterm approaching, I encourage you to consider asking students in your classes for their anonymous feedback. Students can often suggest small adjustments that have a significant effect on teaching and learning, and asking for these suggestions is simple and confidential. It is also optional.
The tool to use, "Midterm Feedback," is now active in every class's Classes*v2 site, and you can find more information about using it here. The tool provides a text box where students can reply to questions you distribute in class or by email. The results are only viewable by you as instructor. Areas of feedback might include students' learning experience or general suggestions for improvements. If you'd like to see some sample questions, click here.

I invite you to use this method to comment on the course. Questions you might address include:

What helps your learning in this course?
What hinders your learning in this course?
What suggestions do you have for improvement?
Comment on the guest speakers.

Mid Term Exam

There will be a make-up midterm on Friday October 30th, from 4 - 5:30pm in Davies Auditoreum. It will have the same format as the first midterm. The questions will be different - except for the last one about the final project.

hw3: Algorithmic Trading: Momentum Strategy

See hw3. Note: a couple of changes to the specification, per piazza discussion.

Feedback issue: changing specifications, ambiguity, lack of test suites, i.e., not like 323. Slade's rationale follows the story of the drunk and the lamppost. I will explain.

Discussion

See R package: stockPortfolio
Example code
Modern Portfolio Theory Continue with Efficient Market Hypothesis.
Answers to exercies have been posted.
Cognitive Models of Decision Making: VOTE

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