Description
Instructor(s)/Supervisor(s)/Coordinator(s): Sai Ping LIThis course will cover: (1) decision theory and its applications to finance; options and payoff diagrams, binomial trees, Wiener Process, Ito Lemma, Black-Scholes-Merton Model; (2) portfolio management of financial time series using mean variance analysis; (3) evolutionary computation for optimization, with applications in finding good prediction rules in finance; (4) measure of information, various information entropies, and methods of maximum entropy; (5) Nonlinear time series: Hurst exponent, multifractality in time series, detrending and decomposing a nonlinear time series; (6) Causality and information flow.