RMSC 1101
Elementary Concepts in Risk Management (2022-23 Fall)
Class Information
Class time: M 1330–1515
Location: LPN LT
Outline: <download here>
Instructor
Name: Kin Wai Keith Chan
Email: kinwaichan@cuhk.edu.hk
Office: LSB 115
Tel: 3943 7923
Teaching assistant
Name: Wenhan CAI
Email: whcai@link.cuhk.edu.hk
Office: LSB G30
Tel: 3943 8534
Description
This is an elementary course that introduces current issues and special topics in RMSC. Students are required to present and discuss books and current articles in the related topics.
Learning outcomes
Ability to present complex (risk-management, statistics, finance) concepts concisely and precisely.
Basic computer skills (LaTeX, R-language, etc).
Communication with professionals as well as laymen (presentation, discussion, collaboration).
Development of job hunting skills (job searching, study planning, etc).
Main content
The theme of this year's RMSC 1101 is technical analysis. We will discuss and present some commonly used trading strategies via technical analysis. The aim is to understand and test whether those strategies work or not work via programming. A short video is provided for each topic listed below. Students are required to watch each video before the corresponding presentation.
Presentation 1: Trend trading strategy
Presentation 2: Range trading strategy
Presentation 3: Moving average trading strategy
Presentation 4: Breakout trading strategy
Presentation 5: Pairs trading strategy
Presentation 6: Reversal trading strategy
Presentation 7: Grid trading strategy
Presentation 8: Swing trading strategy
Assessment:
Assignment (a out of 10): Complete 3 individual assignments. Hand in any n pieces of them to get a = min(5n, 10). Aims:
start appreciating the art of programming; and
skillfully search for potential solutions on the Internet.
Presentation (p out of 10): Each group is required to deliver a 25-minute presentation on an assigned topic. Aims:
successfully attract the audience’s interest;
concisely outline the problem;
intuitively explain the idea; and
precisely present an R-program to illustrate and/or solve the problem.
Report (r out of 10): Each student is required to write a one-page report on his/her presented topic individually. Aims:
complete the report by LaTeX;
contain one graph produced by R;
demonstrate your own understanding of the problem; and
neatly summarize the problem and the solution.
Discussion (d out of 10): All students should discuss the presentation with their groupmates after listening to the presentation. For group g’s presentation, group g′ = (g + 4)1(g ≤ 4) + (g − 4)1(g ≥ 5) needs to lead the class to discuss and ask group g questions regarding the presentation to earn the discussion score d. Aims:
raise interesting and relevant questions to motivate discussion; and
effectively discuss new problems with other people.
Bonus (b out of 0.5): Bonus points are given to students who enthusiastically participate in lectures, presentations, discussions, and tutorials. Possible ways to earn the bonus points include (but are not restricted to):
give good answers or ask good questions during the discussions; and
enthusiastically participate in class and tutorials.
Grading
The total score t (out of 100) is given by
t = min{10, 0.3a + 0.2(p+r) + 0.2max(p,r) + 0.1d + b}
If min(p, r, d) < 3, the final letter grade will be handled on a case-by-case basis. Otherwise, your letter grade will be in the A range if t ≥ 8.5, at least in the B range if t ≥ 6.5, at least in the C range if t ≥ 5.5.
Important note: For the most updated information, please always refers to the course outline announced by the course instructor in Blackboard, which shall prevail the above information if there is any discrepancy.
Course materials
Lecture note 0: Course introduction + Presentation skills
Lecture note 1: R programming (I)
Lecture note 2: R programming (II)
R code for the examples and quick exercises
Latex example and R-code
R code for potting trend-line (14 Nov 2022)
Assignments
Assignment 1. Due: 3 October (Monday) at 6:00 pm
Assignment 2: Due: 10 October (Monday) at 6:00 pm
Assignment 3: Due: 12 December (Monday) at 12:00 noon
Course material in the previous years can be downloaded here.