2025 Instructor
書報討論 (Seminar) (QF 510100)
Course Description & Audience: The Seminar course concentrates on providing students with cutting-edge research, industry trends, and theoretical advancements in areas such as quantitative finance, financial engineering, and financial mathematics. Some guest speakers will be invited throughout the semester to deliver technical talks, enriching students' understanding, knowledge, and critical thinking abilities.
Prerequisites: N/A
Time and Place: R2R3R4, in 905 TSMC Building (台積館). The detailed course schedule will be announced in the first week of the semester.
Instructor's Office Hours: N/A
Textbooks: N/A
References:
A. W. Lo, Adaptive Markets: Financial Evolution at the Speed of Thought, Princeton University Press, 2017.
B. G. Malkiel, A Random Walk Down Wall Street, W. W. Norton & Company, 2023.
C. M. Christensen, J. Allworth, and K. Dillon, How Will You Measure Your Life? Harvard Business Review Press, 2017.
A. Mortimer J., and C. Van Doren. How to Read a Book: The Classic Guide to Intelligent Reading. Simon and Schuster, 1972.
B. Gastel and R. A. Day, How to Write and Publish a Scientific Paper, Bloomsbury Publishing USA, 2022.
B. Minto, The Minto Pyramid Principle, Minto International (1996)
彭明輝, 研究生完全求生手冊：方法、秘訣、潛規則. 聯經出版事業公司, 2017.
彭明輝, 論文寫作完全求生手冊：精準表達，以理服人的技藝. 聯經出版事業公司, 2023.
Teaching Method: Presentation and Discussion
Teaching Assistant: 葉昱志(a3453996@gmail.com).
Homework: Students will be assigned groups and instructed to read selected journal papers. The students will be required to prepare a presentation to deliver in class.
Grading: The grading criteria will be based on a group/personal presentation (40%), assignments (30%), and class participation (with discussion) (30%). The instructor may exercise discretion up to 10% in each grading category.
Tentative Schedule.
Week 01 (02/20)
Introduction: Chung-Han Hsieh.
Week 02 (02/27)
Invited Speaker: Prof. Li-Hsien Sun (NCU, Statistics)
Topic: Partial Information in a Mean-Variance Portfolio Selection Game
Week 03 (03/06)
Group 1 Presentation: Chapter 1 of Adaptive Markets
劉川平、林曉真、 陳 逸
Group 2 Presentation: Chapter 2 of Adaptive Markets
李天民、葉昱志、陳 信
Week 04 (03/13)
Group 3 Presentation: Chapter 3 of Adaptive Markets
吳唯德、林沛璇、 藍焌朋
Group 4 Presentation: Chapter 4 of Adaptive Markets
鮑欣禾、李佩臻、 廖優優
Week 05 (03/20)
Invited Speaker: Prof. Rex Wang Renjie (Vrije Universiteit Amsterdam & Tinbergen Institute)
Week 06 (03/27)
Group 5 Presentation: Chapter 5 of Adaptive Markets
孫晨一、周弘才、 許景煬
Group 6 Presentation: Chapter 6 of Adaptive Markets
翁海帆、陳瀅帆、 黃靖幃
Week 07 (04/03)
No Class. Spring Break.
Week 08 (04/10)
Group 7 Presentation: Chapter 7 of Adaptive Markets
林溢豪、蔣昀恩、 朱正顏、 賴正泰
Group 8 Presentation: Chapter 8 of Adaptive Markets
李沛承、甘 容、 許明祺、陳冠聿
Week 09 (04/17)
Invited Speaker: Prof. Keeyoung Rhee, SKKU.
Week 10 (04/24)
Invited Speaker: Prof. Hsuan-Chih Lin, NTU, Finance
Week 11 (05/01)
Group 9 Presentation: Chapter 9 of Adaptive Markets
朱紹維、王誼莙、張晁維
Group 10 Presentation: Chapter 10 of Adaptive Markets
楊雪瀅、羅漢杰、李佾珊、粘茂榤
Week 12 (05/08)
Invited Speaker: Prof. Huei-Wen Teng, NYCU, Information Management and Finance.
Week 13 (05/15)
Invited Speaker: Prof. Ju-Fang Yen, NTPU, Statistics
Week 14 (05/22)
Group 11 Presentation: Chapter 11 of Adaptive Markets
吳俊佑、林冠禹、謝依庭、蔡宜伶
Group 12 Presentation: Chapter 12 of Adaptive Markets
廖晢煦、林育陞、李誌軒
Week 15 (05/29)
Buffer week. No Class.
Week 16 (06/05)
No Class.
Supplementary Links:
Youtube link: 彭明輝，精準表達、以理服人：論文寫作的技藝
Marcos Lopez de Prado, Practical Applications of Machine Learning for Econometricians: The Readme Manual, Journal of Financial Data Science, 2022. (SSRN).
Some Relevant Journals/Conferences to Follow
Control and Information Theory
IEEE Conferences on Decision and Control (CDC)
American Control Conference (ACC)
IFAC World Congress
Operational Research and Management Science
Finance:
Financial Engineering:
Statistics
Econometrics
Machine Learning & Artificial Intelligence
Conference on Neural Information Processing Systems (NeurIPS)
International Conference on Machine Learning (ICML)
Conference on Artificial Intelligence (AAAI)
Conference on Learning Theory (COLT)
Others (Preprints Platforms)