ai-stuff / rm-qf

Research Methodology for Quant Finance and Fintech by Jaehyuk Choi and Xianhua Peng

Research Methodology for Quant Finance and FinTech, 2020-21 Module 1 (Fall 2020)

Lectures

No	Date	Contents
01	9.08 Tue	Lecture by Choi: Course Overview, Thesis trend, and Zotero Peng: Course Introduction (Slides available in Zotero group library)
02	9.15 Tue	Lecture by Choi: Zotero with MS Word, Structure, Topic and Contribution, Citation in Thesis, Etc
03	9.22 Tue	Lecture by Peng: Asset Pricing with Spatial Interaction, A Jump-Diffusion Model for Option Pricing. (Papers and slides avilable in Zotero group library)
04	9.29 Tue	Lecture by Choi: Quant Finance Topics, Bitcoin Literature Review, Presenation Order
x	x	No Class: National Day Week
05	10.13 Tue	Lecture by Peng
06	10.20 Tue	Lecture by Choi and Peng
07	10.27 Tue	Proposal Presentation (evaluated by Choi and Peng)
08	11.03 Tue	Proposal Presentation (evaluated by Choi and Peng)
09	11.10 Tue	Proposal Presentation (evaluated by Choi and Peng)
Exam	11.15 Tue	3:30 - 4:30 PM Final Exam (English for thesis writing)
Proposal Report	11.22 Sun	Due by 11:59 AM

Classes:

• Lectures: Tuesday 3:30 – 5:20 PM
• Venue: PHBS Building, Room 417

Instructor: Jaehyuk Choi / Xianhua Peng

• Office: PHBS Building, Room 755 / 756
• Phone: [phone] / 3050
• Email: jaehyuk / xianhuapeng @ phbs.pku.edu.cn
• Office Hour: TBA

Teaching Assistance: "Arthur" Rong CHEN (陈容)

• Email: [email protected]
• TA Office Hour: TBA (Room 213/214)

Course overview:

The general purpose of the Research Methodology course to prepare students for conducting research and writing thesis. This particular session (QF) is customized for the students who are going to write a thesis on a quantitative topics such as mathematical finance, financial engineering, and fintech. Throughout this course, students will first learn what are good research topics by examples. Then, students will be required to their own thesis topics and present in class. It is strongly encouraged that the students pick a real topic that they will work for thesis. The course will also equip students with several practical tools such as reference management software and English for thesis writing.

Proposal Presentation and Report

• Each student should write a proposal for the topic that can be developed into a real thesis.
• Write a proposal consist of literature review and (expected) new element/contribution.
  • The report does not have to contain concrete results.
  • The literature review should cover at least 5 papers in detail, summarizing the models, methodologies, and data set used in each paper.
  • The proposal write-up should be in such a level to be used as the introduction section of the thesis.
  • Consider the availability of data if it is an empirical topic.
• Present the proposal in class (4 lectures): about 10 minutes including quick discussion/comments from the professors.

Final Exam: English for writing

• 11.15. (Tues) 3:30 - 4:30 PM. Rm 417.
• Exam materials (available in Zotero group). Exact scope will be announced later.
  • The Elements of Style, 2011 Edition by Struck
  • English for Writing Research Papers: Useful Pharase: Download
  • The material will not be covered in class. Study by yourself.
  • Exam questions will be from the examples (and slight variations of examples) in the materials (mostly from the Elements of Style).
• Exam will be in 1 hr. It is closed-book. Answer sheets wil be provided. Do not put anything on desk except pencil.
• There will be about 30~40 problems. There will be two two type of quesions:
  • Type 1: If two choices (a and b) are given, select preferred usage.
    • Example: (a) I used the facilities. (b) I used the toilets. Answer: (b)
  • Type 2: If just one sentence is given, give Good or Bad.
    • Example: Blake and myself stayed home. Answer: Bad
    • For some questions, the question underline important words related to the answer.
• Simple answer is enough. You don't need to justify your answer. There will no partial credit.

Prerequisites: None

Assessment/Grading Details

Attendance 20%, Assignments 10%, Thesis Proposal 40%, Final Exam 30%

• Presentation: proposal write-up / presentation in class
• Attendance: Randomly checked. The score is calculated as 20 – 2x(#of absence). Leave request should be made 24 hours before with supporting documents, except for emergency. Job interview/internship cannot be a valid reason for leave
• Grade in letters (e.g., A+, A-, ... ,D+, D, F). A- or above < 30% and B- or below > 10%.