PACE UNIVERSITY
SCHOOL OF COMPUTER SCIENCE
AND INFORMATION SYSTEMS: COMPUTER SCIENCE
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COURSE TITLE: |
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Modeling Financial Processes and Systems (CS 398A) |
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CREDIT HOURS: |
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4 |
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PREREQUISTES: |
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CS 397N; or equivalent, or
instructor’s permission |
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TEXTBOOKS: |
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1.
J. Lawler and
H. Howell-Barber, Service Oriented
Architecture: SOA Strategy, Methodology, and Technology, Bacon Raton, FL:
Auerbach Publications, 2008 2.
K. Kim, Electronic and Algorithmic Trading
Technology: A complete Guide, New York, NY: Academic Press/Elsevier 2007 3.
I. Aldridge, High-Frequency Trading: A Practical Guide
to Algorithmic Strategies and Trading Systems, New York, NY: John Wiley
& Sons, 2009 4.
B. Franks, Taming the Big data Tidal Wave,
Hoboken, NJ: John Wiley & Sons, 2012 |
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REFERENCES: |
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1.
Entrepreneur and
Inc Magazines 2.
T. Byers, R.
Dorg, & Q. Nelson, Technology
Ventures: From Ideas to Enterprise, 3rd
edition, McGraw Hill, 2011. 3.
J. Edmonds, How to Think about Algorithms, New
York: Cambridge University Press, 2008 4.
Research papers 5.
Internet |
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SEMESTER: |
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Fall 2012 |
Course
Description: Modeling of Financial Processes and systems through
Technologies is a course that defines a program management methodology for
modeling processes and services through service-oriented architecture (SOA)
technologies as well as algorithmic and high frequency trading inclusive of the
concepts of big data. The course is project-based and will include case studies
of business firms applying or not applying entrepreneurship frameworks of the
methodology on modeling processes empowered by SOA technologies, tools and
utilities; efficacy and utility of electronic and algorithmic trading; and use
of big data to better understand business processes and systems. The course
concerns business fundamentals in the modeling of processes and systems through
SOA technologies, big data analytics, and algorithmic and high frequency
trading. Entrepreneurs for team mentors, project selection and scaling, and
guest speakers will be used to provide an industry practical orientation to the
course to complement the theoretical underpinnings.
Learning Objectives and Outcomes
Each team
and students and expected to accomplish the following by the end of the course:
Tentative Examination Schedule:
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Course
Section |
Project
Deliverable Dates |
Project
Submissions & Presentation |
Final
Exam Date |
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CS
398A/CRN: 73239 |
[9/13],
9/20, 10/4, 10/25, 11/8, 11/29//2012 |
December
6, 2012 |
December
13, 2012 |
Class meeting Schedule
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Course
Section |
Day,
Time, and Location of Class Sessions |
First
and Last Day of Class |
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CS 398A/CRN:
73239 |
Thursday: 6:00pm – 8:45pm; |
First
class: September 5, 2012 Last
class: December 21, 2012 |
Note 1: This
course is interdisciplinary with knowledge content from computing, finance, and
entrepreneurship. It involves applying computing and entrepreneurship knowledge
and skills to financial problems anchored in big data with the purpose to
produce a new or enhanced product, process, or service. To accomplish this
task, students will develop generic skills in teamwork, problem-solving,
project management, and communication through cooperation, collaboration, and
project-based learning.
Note 2: To
facilitate and promote learning, you are encouraged to download the lectures
from Blackboard and study them along with the material in the textbooks and any
other relevant sources including the mentor. All lessons will be posted on
Blackboard within a week of the lesson being introduced. Use the textbooks and
other suggested sources to complement and perhaps, at times, expand and
elucidate ideas presented in the lecture notes. Note that mere reading is not studying.
Note 3: The
course is structured around the project-based learning strategy including some
combination of such techniques as those highlighting active learning,
inquiry-based lecture-discussion and problem based learning, collaborative
learning and problem-solving. There will be many opportunities to develop
salient practice problem solving skills with
currency in industry throughout the course. To get the most out of the course,
you are encouraged to follow and keep up with the reading assignments and
genuinely determine its merit relative to your project. For those problems you
cannot solve, determine the nature of your difficulty and bring it up in class
or during office hours. The idea is to come to class prepared and willing to
learn as well as ready to ask questions about the course materials and project/problem.
You will be tested individually and as teams at the beginning of each major
phase of course, which is about five
times. The mantra of this course is learning,
learning, learning and more learning!
Note 4: In
the interest of learning, it is very
important that you foster an inquisitive mind – do all the required
assignments. Failing to do so may diminish your ability to get the most out of
each class and the course. Studying
is NOT mere reading of the textbook, class notes, and PowerPoint slides, it’s
an intimate interaction between you and the information
provided to you in the class notes, PowerPoint
slides, and the textbook; it requires mindfulness
on your part of the information provided to you.
NOTE 4:
LEARNING IS AN ACTIVE PROCESS – IT IS MORE THAN PASSING EXAMS; IT’S ABOUT USING
WHAT’S LEARNT TO DO SOMETHING MEANINGFUL AND PRACTICAL. TO LEARN SOMETHING IS
TO UNDERSTAND IT AND TO BE ABLE TO USE IT. IT’S ABOUT KNOWLEDGE TRANSFER.
Note 5: Learning is the central objective of
this course; teaching and training will be done to facilitate your learning.
Note 6: Learning
can be described as a rich, purposeful,
complex, developmental, transformational, active and interactive, personal and
social, reflective, natural and life-long, implicit, contextual, multilevel,
measurable, and somewhat unpredictable process that is deeply impacted by the cultural, structural, and leadership factors of
the organization. When someone reflects
on their learning and put it into a
context with what was previously
learnt, he/she is able to gain new
knowledge.
Note 7: It
is very important you read and familiarize yourself with SCSIS Statement of Student Responsibilities (see
Blackboard).
Note 8: You should devote at least 8 hours per week to prepare for this course – more may be
needed depending on your rate of learning to sufficiently understand the course
content and apply its principles as well as being successful achieving a
meaningful grade.
Note 9: You are strongly encouraged to spend an appropriate length of time to
research, develop, and implement the project and submit its deliverables in a
timely manner; during the problem definition, scoping, design, development, and
implementation process seek my help as well as the help of your mentor as
needed to resolve any issue you may encounter. Your project should reflect
thoughts and input of each person on the team; make sure that you thoroughly understand
the project assignment; and you should build the service and product of the
project based on sound theory and practical knowhow.
Note 10: Entrepreneurial Product Development Model[1]: The
development of a new product is a nonlinear iterative process involving
constant fine-tuning because of the many feedback loops. The fine-tuning is
done to the technology, product, application, service, or process to the point
of commercial readiness. Roadblocks and
speed-bumps include (1) fear of the
unknown -- Is there something novel or patentable? (2) What is the level of demand and the adoption pattern? (3) No market knowledge – Is there a customer
and a compelling need? (4) Launch
strategy – License? Start a company? Be acquired? (5) Find the right application --Is there a potential source of funding for
prototyping? (6) Difficulty of moving
from laboratory to company.
New technology product development process
1.
Invention or
discovery
2.
Initial concept
3.
Feasibility
analysis and the business case
4.
Pre-development
financial analysis
5.
Design and
development of platform prototype
6.
Testing and
validation
7.
Design and
development of commercial application
8.
In-house product
test and limited market test
9.
Pre-launch
business plan
Professor:
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Dr. A. Joseph
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Office:
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163 Williams St.,
2nd floor, room 231
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Telephone: |
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212 346 1492 |
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Email: |
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Office Hours: |
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Wednesday: 9:00am – 2:00pm |
Project (including
prototype and Business Plan):
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45%
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New Business Pitch: |
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10% |
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Teamwork/class
participation: Journal (Due weeks: 3, 6, 9, & 12): Collaboration and meetings with
Mentors: |
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20% 10% [9/20, 10/18, 11/8, & 12/6/2012] 10% |
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Homework: |
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[None other than the project] |
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In-class examinations: |
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5 project deliverables [9 points each – 9/20, 10/4, 10/25, 11/8,
& 11/29/2012] |
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Final examination: |
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25% |
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Team’s Average Performance
[Bonus]: Above 86%: 76% -- 86%: 65% -- 75%: Below 65%: |
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0 -- 10% 10% 6% 3% 0% |
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Above 92
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A
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90% -- 92% |
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A- |
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87% -- 89% |
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B+ |
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83% -- 86% |
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B |
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80% -- 82% |
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B- |
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77% -- 79% |
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C+ |
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70% -- 76% |
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C |
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65% -- 69% |
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D+ |
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60% -- 64% |
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D |
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Below 60% |
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F |
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Note: Grade is computed to the
nearest whole number. |
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Note: SCSIS
Student Responsibilities statement is attached to this syllabus.
TOPICS AND
ASSIGNMENTS
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Week
#1-3 |
A.
Big Data: Meaning;
relative difference; risks; structure; exploration, filtering, and integration
with other data; an example of what web data reveals about customers (e.g.,
shopping behaviors, purchasing patterns and preferences, and feedback behaviors); producing great
analysis (analysis versus reporting, making analysis great, core versus
advanced analytics, framing the problem correctly, statistical significance
and inferences versus business importance). B.
Project: Orientation
to and discussion of project assignment; collaborative learning,
project-based learning, and team dynamics; collection of student information for
team formation; overview of the creative and innovative processes and ways to
improve them; and protecting one’s ideas through patents, trademarks, and
copyrights. C. Assignment
1a: Individual student project idea
and brief class presentation of it (in week 2) Assignment
1b: Introduction to and follow-up
with mentor to discuss the project idea and its scope if it is to be
completed on schedule (in week 2) |
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Week
#3-5 |
A.
Service Oriented Architecture Strategy and
Methodology: Business process management;
enterprise architecture; innovation and entrepreneurship; program management
methodology; entrepreneurship frameworks of program management methodology;
and governance, communication, and modeling of web services in a life
insurance firm and in an investment banking firm B.
Project: Team
project presentation and project approval; strategic problem solving techniques;
case studies of algorithmic solutions to practical problems; overview of the
elements of an effective business plan; plan and design an algorithmic
solution to a financial problem with big data; develop an effective marketing
plan; and entrepreneurship, creativity, and innovation. C.
Assignment 2a:
Guest lecturer – Creativity, innovation and entrepreneurship, and elements of
an effective business plan (in week 3) Assignment 2b: Team project idea presentation, submission, and
approval as well as the role and function of each team member on a team (in
week 3) Assignment
2c: Begin work on project (in week
4) Assignment
2d: Meeting with mentor (in week 5) |
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Week
#6-9 |
A.
Financial Markets, Trading Process, Instruments, and
Institutional Trading: Exchanges
and floor markets; over the counter markets and alternative trading systems;
decline of brick and mortar; crossing networks and upstairs markets;
quotation, inter-markets and clearing systems; brokerage operations; fixed
income securities and money markets; markets around the world; currency
exchange and markets; institutions and market impact; registered and
unregistered investments companies; best execution, execution costs, and
price improvement; algorithmic trading; dark pools; stealth and sunshine trading;
and high frequency trading B.
Project:
Continue with work on project (algorithmic problem solving – design and
development of prototype); preprocessing of raw data; develop an
understanding of financial statements and prepare a financial plan; develop
and present idea of a new business to the professor and mentor; academic,
technical, and moral supports to teams; and guest speaker C.
Assignment 3a: Regular meetings with mentors (in weeks 7 and 9) Assignment 3b:
Guest Lecturer -- Understanding financial statements and preparing a
financial plan for inclusion into a business plan as well as technical
support for teamwork and develop pitch of new business (in weeks 6 and 9) Assignment 3c:
Project update – team project presentation of progress report (in weeks 6 and
9) |
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Week
#10-11 |
A.
High Frequency, Electronic, and Algorithmic Trading: Market inefficiency and profit opportunities at
different frequencies; working with tick data; algorithmic strategies;
program and algorithmic trading for different assets classes; and entrepreneurial
advantages of algorithmic trading and possibilities from trading at different
frequencies B.
Prototype of algorithmic
solution for problem of project assignment completed and presented to class
for review and feedback from class and the professor; teams contemplate how
to implement the algorithm in software; teams are aware of how the resulting
software product of the algorithmic solution to the identified problem would
test on real data as well as the implications of such testing; and case study
of information technology entrepreneurship. C.
Assignment 4a:
Meeting with mentors (in week 11) Assignment
4b: Project update – team project
presentation of progress report (in week 11) Assignment 4c:
Guest Lecturer – pitching a new business idea to potential investors in hopes
of receiving seed funding (in week 11) |
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Week
# 12 |
A.
Project: Completion
of implementation of algorithmic solution to the financial big data problem
of the project and the related business plan; have reasonable expectation of
how the resulting software product from the prototype algorithm would perform
on real data, as well as the evaluation and feedback on the completed
prototype of the algorithm and business plan from professor and mentors; and
case study of information technology entrepreneurship. B. Assignment
5a:Meeting with mentors and share
completed project with mentors and solicit their feedback Assignment
5b: Prepare project presentation
and complete product documentation |
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Week
# 13 |
Project
presentation and pitch of the business plan as well as submission of project
report in the form of a well-conceived business plan and learning journal
inclusive of product documentation. |
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Week
#14 |
Final
exam |
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Note: All presentations and submissions of project must include
Microsoft PowerPoint presentation; supplementary documentation may also be
included if your team deem it necessary to enhance your presentation.
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Note 1:
This course is structured around small collaborative teams in a cooperative project-based
learning environment. A main objective of the course is to have heterogeneous
teams of mixed gender and of different academic, experiential, cultural, and ethnic backgrounds work
together to develop a software financial service or product (up to the
algorithm stage) with market potential. Students are encouraged to work
together in their respective teams to form effective and very productive
entrepreneurial enterprises that share the learning experience within the
context of the course and its expected outcome, help each other with learning
difficulties, and spend sufficient time to get to know each other. Each team
member is expected to partake in the research, problem identification, and
decision making of its team project and is responsible for the project’s
successful completion and submission. Importantly, a condition for a
project’s approval is that through the advice of industry experts, a team
will identify and consult with companies in need of a solution to its chosen
problem. Each team member will be
individually graded in proportion to his or her contribution to the project. Team
members must budget their available time to ensure that they can devote the
necessary amount of time needed to successfully complete the project in
accordance with the deliverable dates. |
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Note 2:
During the first class session, student background information will be
collected for the purpose of forming the teams and assessing students’
knowledge of the relevant subject areas. Students will be placed in teams by
the second class meeting. These are entrepreneurial teams in training that are
analogous to progressive small business enterprises and as such may assign
itself a name. |
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Note 3: Provisions will be made to have the completed
projects posted on a website specifically designed for this purpose. |
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Note 4: To
ensure that each team completes its project in a timely fashion, a strict
time schedule will be followed. There will be deliverable dates for each team
to have specific components of the project completed in the form of problem
definition, scoping the problem, algorithmic problem solution, documentation,
and development of technology company business plan. |
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Teams:
Each team will consist of three to four students who will participate in the
necessary research, planning, design, and development of the team’s project
and associated technology business plan. The prototyped product or service
algorithm resulting from the project must be done such that it can be easily
implemented using a high-level programming language. In addition, each team
will maintain proper documentation of all activities relating to the project including
a business plan, marketing plan, and a financial statement for the associated
computing technology company. There will also be a website devoted to the
course. |
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Web support:
This course will be supported with Blackboard postings of instruction and
guidelines pertaining to the course as well as short class presentations,
small business related news, team and class discussions, email correspondence
about the course, questions relating to individual projects, and
miscellaneous course related activities and information. |
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Supplementary materials: There will be handouts in class or web
postings of current events and issues that affect Modeling Financial Processes and Systems. Some books that might be helpful for the
course will be posted on Blackboard along with links to pertinent websites. |
Entrepreneurship,
creativity, and innovation
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Who creates a new activity in the face of risk and
uncertainty for the purpose of achieving success and growth by identifying
opportunities and putting together the required resources to benefit from
them? |
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Creativity
is the ability to develop new ideas
and to discover new ways to of looking
at problems and opportunities |
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Innovation
is the ability to apply creative solutions to those problems and
opportunities to enhance or to enrich people’s lives. |
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Entrepreneurial
mindset: Each student is required
to take an entrepreneur personality test during the first week of class and
again, during the last week of class. The
entrepreneur personality pre-test will be used to assist in the team
formation. |
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What is your team’s name? |
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What is your team’s average entrepreneur personality
score? |