SIMUW 2008 -- Financial Time Series, Multifractals and Hidden Markov Models

by William Stein, meeting in the computer lab Communications B026 1:30 - 4:00pm.

Sage Notebook

• Sage Notebook Server for SIMUW

Schedule

• Monday, July 28 -- Sage, financial time series, frequency histograms

• Wednesday, July 30 -- Simulating stock price time series: first approximation

• Thursday, July 31 -- Trading strategies: first approximation

• Friday, August 1 -- Modeling the market: Mandelbrot's multifractal model of asset return

• Monday, August 4 -- Guest Speaker: Nicholas Waltner (Managing Principal, Kulshan Capital Mangement, LLC) Real World Aspects of Derivatives Trading

• Wednesday, August 6 -- Hidden Markov Models

• Thursday, August 7 -- Hidden Markov Models Applied to Stock Market Data

• Friday, August 8 -- A Hidden Markov Multifractal

Papers and Books

• Sage Math Software documentation

• Quantitative Finance

• Fractional Brownian Motion

• Multifractals

• Hidden Markov Models

• Real World Trading

Data

• Pre-downloaded Data

• Google Finance

• Yahoo Finance

• Free Market Data from PiTrading

• Asset Allocation