I have participated in a couple of Coursera courses over the last year, or since this online education initiative began (in May 2012 or so, right?).
I really like the way these courses are structured. Now, of course, some courses I participated in where better than others, but I always felt that the quality in general was really high.
This isn’t just the case for coursera though - I really liked udacity as well.
And now I have started a class that I am particularly interested in. Firstly, because I need to refresh my probability and statistics knowledge for a project we are working on at TUM CREATE. Secondly, because it unites one of my long-term interests (stocks / trading / investment) with my background in computer science / mathematics and automatic control.
So, hopefully I can pursue this in a more systematic or even mathematically sound way from now on with Eric Zivot’s Introduction to Computational Finance.
Ok, probably I will stick to a rather conservative approach, but I should definitely gain a bit more perspective 🙂
The course looks really good, the only drawback is that it does not offer a certificate of completion (as most of the the other courses do).
I will therefore write 2 or 3 posts here to document my progress and in this way “create” my own certificate with the corresponding accountability.
Note that, even though this class presents its exercises for R or Excel, I have taken the liberty to do some of the calculations with pandas for Python where I like the syntax a lot more 🙂
I guess my R has gotten a bit rusty over the last years as well, so I guess I’ll use the class as an opportunity to polish it a bit as well 🙂
Here’s an excerpt of HW2 where I calculate portfolio returns as a vector multiplication.
import scipy as s import datetime as dt import pandas as pd #Q16: Portfolio Return x = s.array([0.8, 0.2]) retdf = pd.DataFrame(index=df_.index, columns=df_.columns) for symb in df_.iteritems(): data = symb col = symb retdf[col] = (data[-1] - data) / data print retdf portret = s.dot(x, retdf.ix[dt.date(2004,10,31)]) print portret