Students explore the grammatical rules and narrative elements of cinematic storytelling by completing a minimum of three short, nondialogue exercises and two sound exercises, all shot and edited in video. Emphasizes using the camera as an articulate narrator to tell a coherent, grammatically correct, engaging, and cinematic story. Technical workshops on camera, lighting, sound, and editing accompany the workshops, as well as lectures that provide a methodology for the director.
Prerequisites: Knowledge of statistics basics and programming skills in any programming language. Surveys the field of quantitative investment strategies from a buy side perspective, through the eyes of portfolio managers, analysts and investors. Financial modeling there often involves avoiding complexity in favor of simplicity and practical compromise. All necessary material scattered in finance, computer science and statistics is combined into a project-based curriculum, which give students hands-on experience to solve real world problems in portfolio management. Students will work with market and historical data to develop and test trading and risk management strategies. Programming projects are required to complete this course.
This course introduces the Bayesian paradigm for statistical inference. Topics covered include prior and posterior distributions: conjugate priors, informative and non-informative priors; one- and two-sample problems; models for normal data, models for binary data, Bayesian linear models, Bayesian computation: MCMC algorithms, the Gibbs sampler; hierarchical models; hypothesis testing, Bayes factors, model selection; use of statistical software. Prerequisites: A course in the theory of statistical inference, such as STAT GU4204/GR5204 a course in statistical modeling and data analysis such as STAT GU4205/GR5205.
A workshop in which the student explores the craft and vocabulary of the actor through exercises and scene study as actors and the incorporation of the actor's vocabulary in directed scenes. Exploration of script analysis, casting, and the rehearsal process.
Prerequisites: STAT GR5204 Introductory course on the design and analysis of sample surveys. How sample surveys are conducted, why the designs are used, how to analyze survey results, and how to derive from first principles the standard results and their generalizations. Examples from public health, social work, opinion polling, and other topics of interest.
Prerequisites: STAT GR5241 This course covers some advanced topics in machine learning and has an emphasis on applications to real world data. A major part of this course is a course project which consists of an in-class presentation and a written project report.
Prerequisites: Pre-requisite for this course includes working knowledge in Statistics and Probability, data mining, statistical modeling and machine learning. Prior programming experience in R or Python is required. This course will incorporate knowledge and skills covered in a statistical curriculum with topics and projects in data science. Programming will covered using existing tools in R. Computing best practices will be taught using test-driven development, version control, and collaboration. Students finish the class with a portfolio of projects, and deeper understanding of several core statistical/machine-learning algorithms. Short project cycles throughout the semester provide students extensive hands-on experience with various data-driven applications.
This course is an optional companion lab course for GR5242 Advanced Machine Learning. The aim of this course is to help students acquire the basic computational skills in Tensorflow and Python to implement machine learning models. Lab class materials will be aligned closely with the topics covered in GR5242. Google Colab and Jupyter notebooks will be used as the main tools for the hands-on lab exercises. Open to GR5242 students only.
Prerequisites
Some familiarity with python is assumed, but we will begin the class with a tutorial on 'Python for machine learning'.
Data Analytics
Data Analytics
Prerequisites: STAT GR5204 or the equivalent. STAT GR5205 is recommended. A fast-paced introduction to statistical methods used in quantitative finance. Financial applications and statistical methodologies are intertwined in all lectures. Topics include regression analysis and applications to the Capital Asset Pricing Model and multifactor pricing models, principal components and multivariate analysis, smoothing techniques and estimation of yield curves statistical methods for financial time series, value at risk, term structure models and fixed income research, and estimation and modeling of volatilities. Hands-on experience with financial data.
Prerequisites: STAT GR5205 or the equivalent. Available to SSP, SMP Modeling and inference for random processes, from natural sciences to finance and economics. ARMA, ARCH, GARCH and nonlinear models, parameter estimation, prediction and filtering.
Prerequisites: STAT GR5203 or the equivalent. Basics of continuous-time stochastic processes. Wiener processes. Stochastic integrals. Ito's formula, stochastic calculus. Stochastic exponentials and Girsanov's theorem. Gaussian processes. Stochastic differential equations. Additional topics as time permits.
Risk/return tradeoff, diversification and their role in the modern portfolio theory, their consequences for asset allocation, portfilio optimization. Capitol Asset Pricing Model, Modern Portfolio Theory, Factor Models, Equities Valuation, definition and treatment of futures, options and fixed income securities will be covered.
Prerequisites: W4315 and either another statistics course numbered above the 4200 or permission of instructor. Required for the major in statistics. Data analysis using a computer statistical package and selected exploratory data analysis subroutines. Topics include editing of data for errors, exploratory and standard techniques for one-way analysis of variance, linear regression, and two-way analysis of variance. Material is presented in case-study format.
Topics in Modern Statistics will provide MA Statistics students with an opportunity to study a specialized area of statistics in more depth and to meet the educational needs of a rapidly growing field.
Topics in Modern Statistics will provide MA Statistics students with an opportunity to study a specialized area of statistics in more depth and to meet the educational needs of a rapidly growing field.
Topics in Modern Statistics will provide MA Statistics students with an opportunity to study a specialized area of statistics in more depth and to meet the educational needs of a rapidly growing field.
Topics in Modern Statistics will provide MA Statistics students with an opportunity to study a specialized area of statistics in more depth and to meet the educational needs of a rapidly growing field.
Topics in Modern Statistics will provide MA Statistics students with an opportunity to study a specialized area of statistics in more depth and to meet the educational needs of a rapidly growing field.
The hedge fund industry has continued to grow after the financial crisis, and hedge funds are increasingly important as an investable asset class for institutional investors as well as wealthy individuals. This course will cover hedge funds from the point of view of portfolio managers and investors. We will analyze a number of hedge fund trading strategies, including fixed income arbitrage, global macro, and various equities strategies, with a strong focus on quantitative strategies. We distinguish hedge fund managers from other asset managers, and discuss issues such as fees and incentives, liquidity, performance evaluation, and risk management. We also discuss career development in the hedge fund context.