Paderborn Course - November 2017

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All data for this course is available from

http://adage.cse.unsw.edu.au/Resources/

Schedule of activities:

Subject 01: Financial Market Data Analysis

Tuesday 28 November afternoon 14:15 - 18:00

  • 01. Introduction to Financial Market Data: Reading Lessons 1-3, Lecture.
  • 02 Overview of Sirca Financial Market Datasets. Reading Lesson 1. Do Exercise
  • 03. Financial Instrument Naming : Reading Lessons "Ticker Code" and "Reuters Instrument Code (RIC)". Lecture: Introduction to Financial Instruments Codes.
  • 04. Daily Market Measures: Lecture: Processing Daily Data. Reading "Daily Market Data Measures Tutorial". Do Exercises 2 and 3. Reading remaining lessons.

Wednesday morning 09:15 - 13:00

  • 05. Lecture: Processing Daily Data Using HGA. Reading "Building Daily Time Series Using HGA". Install and run the HGA tool. Exercise: "Building Daily Timeseries for German Companies". Activity (optional): Do "Volatility Exercises".
  • 06. Orderbooks and Intraday Transactions: Reading All Lessons. Lecture: High Frequency Market Data.
  • 07. Computing Intraday Measures. Lecture: Intraday data processing. Trying HGA Tool for Building Intraday series. Activity: Do Exercises.

Wednesday afternoon 14:15 - 18:00

Subject 02: Text Data Analysis

  • 01. News in Finance. Lecture: News in Finance.
  • 02. Accessing News Sources: Activity: Accessing Yahoo News. Activity: Accessing Thomson Reuters news (Except Activity 9). Activity: Accessing Facebook news.
  • 03. Computing News Sentiment: Lecture: Sentiment Analysis. Reading "Sentiment Analysis of Financial news". Activity: TRNA Tutorial. Activity: Classifying News Items Using Python NLTK (do exercise).

Thursday morning 09:15 - 13:00

Subject 03: Financial Market Impact Analysis

  • 01. Lecture: Performing an Event Study. Additional Reading on "Introduction to the Event Study Methodology" (optional). Read: Event Study Workbench Manual. Activity: Perform ESW Exercise.
  • 02. Conducting Daily News Impact Analysis: Activity: Perform News Impact Using Daily Data Exercise.
  • 03. Computing Intraday Price Jumps: Reading: Introduction. Lecture. Tutorial: Using HGA to compute price jumps. Perform exercise.
  • 04. Computing Intraday liquidity: Lecture. Reading: Using HGA to compute liquidity measure. Activity: Perform exercise.
  • 05. Conducting Intraday News Impact Analysis: Activity: Major assignment. Ask tutor check your work when completed.

Thursday afternoon 14:15 - Open

  • Finishing Major assignment (Subject 03, Topic 05.)
  • Finalising teams. Project Topic Presentations. Teams allocations to topics.
  • Working on Project

Friday morning 09:15 - 12:00: Open Consultation about the Project. If needed, drop at anytime in Office Q3 140 for help.

For any help, contact Fethi Rabhi (f.rabhi@unsw.edu) or Ali Behnaz (ali.behnaz@gmail.com)