应用金融学
Applied Finance
Lecturer: Dr. Ming Guo
Assistant Professor in Finance
Peking University，HSBC School of Business
Textbooks (Required):
Grinold, R.C. and R.C. Kahn, Active Portfolio Management, McGraw-Hill. 2006
References:
Applied Quantitative Methods for Trading and Investment by
>> Christian L. (Editor), Jason Laws (Editor), Patrick Na?m
>> (Editor)
ALEXANDER, C. Market Models: A Guide to Financial Data Analysis, John Wiley & Sons, 2001
Campbell, J. Y., A. W. Lo, and A. C. Mackinlay, The Econometrics of Financial Markets, Princeton University Press, 1997
Dunis，C.L., J. Laws, and P. Na?m, Applied Quantitative Methods for Trading and Investment, The Wiley Finance Series, 2003
Garbade, K.D., Fixed Income Analysis, MIT Press
Gotthelf, P., Precious Metals Trading: How to Profit from Major Market Moves, John Wiley & Sons, 2005
H. Geman, Commodities and Commodity Derivatives: Agriculturals, Metals and Energy, Wiley Finance, 2005
HULL, J. C., Options, Futures and Other Derivative Securities, Prentice-Hall, 2006
Rosenberg, M. R., Currency Forecasting: a Guide to Fundamental and Technical Models of Exchange Rate Determination，Chicago: Irwin, 1996
江恩，威廉 D., 如何从商品期货交易中获利，机械工业出版社, 2007
迈吉，约翰，股市心理博弈，机械工业出版社, 2007
Course Objectives
The goal of this course is to help students apply their knowledge in finance, economics, and statistics to real world investment as well as improve their understanding of various financial markets. Investments are both an art and a science. The art of investing is evolving into the science of investing. The course covers topics related to quantitative investment, which relies on analysis, process, and structure of data and qualitative information in a systematic fashion. The students will be exposed to both theories and real world data. They will learn the commonly used trading strategies in various financial markets. They are expected to grasp the basic ideas and methods of constructing and evaluating trading strategies.
Course Grade
Class Participation, Presentation, and Group Projects (3) 40%
Term paper 40%
Final 20%
A group of 4 to 5 students will be formed to do 3 group projects using real world data. Each group is required to present one of the above projects in class. Every student must participate in the group presentation. A presentational material should consist of about 15 ppts and last for about 20 minutes (15 minutes presentation and 5 minutes questions and answers). Each member of the group will be evaluated according to his individual performance as well as his group performance.
In addition, each group will be required to present of an overview of a specific index given in Appendix. A presentational material should consist of several ppts and last for about 10 minutes. The group is required to prepare a brief survey written either in English or Chinese. The material must be circulated before the presentation.