4808086: Programming in Finance

Beschreibung

This course is an introduction to programming with a focus on finance. Overall, programming is a language, which allows human beings to communicate with computers. All languages are set up by grammar and vocabulary. The grammar of programming is the design of the algorithm. The vocabulary is the syntax of the source code and the usage of implemented functions.

The first milestone of this course is the development of an algorithm. An algorithm is the roadmap between the input and output, which solves a certain problem. For example, an algorithm is able to find the shortest way between your staring point and your target. The second milestone is an introduction to R, such that the basic vocabulary is known. Then, the course will discuss some sorting algorithms. At the first stage, sorting algorithms seem not to be important for financial aspects. But the opposite is true. For example, the risk factors of Fama / French (High-Minus-Low, Small-Minus-Big, etc) are one of the central risk factors in finance. A computation of these factors without any sorting is simple not possible.

The last part of the course discusses linear regressions and portfolio management within R.

Lernergebnisse

• Studentsunderstand the basic concepts and tools of the statistical software Rare able to do their own programming.

Lehrmethoden

Interactive lecture with exercises

Literatur

• Venables, W. N., & Smith, D. M. (2009). An introduction to R (2nd ed.). Surrey: Network Theory Limited.

Arbeitsmaterial

• Helpful sources for input:CRAN, CRAN Packages, http://cran.r-project.orgRmetrics, Rmetrics, http://www.rmetrics.org