1. Proposal for CS23x: Computational Finance Christopher Thorpe Harvard SEAS

2. 28 September 2007 Motivation Finance is an important, interesting source of real-world problems. The field of computer science offers useful tools for understanding financial markets.

3. 28 September 2007 Presentation Overview Goals of the Course Whom the Course Serves Course Format Similar Course Offerings Elsewhere Discussion

4. 28 September 2007 Primary Goals of Proposed Course Motivate finance as an important, interesting source of open real-world problems  Prediction of prices  Multi-Agent Systems  Terabyte-scale data challenges Apply computer science research to solving these problems  Focus on Artificial Intelligence and Systems

5. 28 September 2007 Additional Goals of Proposed Course Broaden the SEAS curriculum Explore cross-disciplinary contributions computer science can offer finance Answer considerable student interest Offer students exposure before being recruited by hedge funds

6. 28 September 2007 Who is Served by the Proposed Course SEAS students in CS and Applied Math Potential area for SEAS-HBS collaboration Finance, mathematics, economics students  Learn about CS approaches to knowledge  Build cross-functional teams of students for homework and class projects

7. 28 September 2007 Course Format Quick introduction to financial markets Explore tools for modeling markets Historical backtesting; risk analysis  Brief, weekly assignments for the above Significant final project  Explore an open finance research question  Or: Build a trading agent using live data

8. 28 September 2007 Similar Course Offerings Elsewhere Cornell, Berkeley, Columbia: Master’s in FE  Include “computational finance” courses HBS, MIT Sloan offer courses in Fin. Eng.

9. 28 September 2007 Discussion