The Applications of Programming for Financial Engineers course covers topics such as: liquidity impact modeling; portfolio optimization; multiprocessing; and more.
hw1
- Computing optimal share sales schedule given moving-average / market memory liquidity impact model.
hw2
- Solving unconstrained Markowitz portfolio optimization problem.
hw3
- Identifying polluted data via dimension reduction and clustering methods.
hw4
- Two constrained portfolio optimization problems using gradient clipping and a barrier method.
hw5
- Pairs trading algorithm using parallelized stochastic gradient descent.