FE582 Foundations of Financial Data Science

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Course Catalog Description

Introduction

This course will provide an overview of issues and trends in data quality, data storage, data scrubbing, and data flows. Topics will include data abstractions and integration, enterprise level data issues, data management issues with collection, warehousing, preprocessing and querying, similarity and distances, clustering methods, classification methods, text mining, and time series. Case studies will be presented in support of the theoretical concepts. Furthermore, the Hadoop-based programming framework for big data issues will be introduced along with any governance and policy issues. These concepts will be applied to areas such as digital marketing and computational advertising, energy and healthcare analytics, social media and social networks, and capital markets financial data. A one credit Hanlon lab course, FE-513: Practical Aspects of Database Design is co-requisite to this course in order to facilitate learning of the practical side of data management.
Campus Fall Spring Summer
On Campus X X
Web Campus X X

Instructors

Professor Email Office
Dragos Bozdog
dbozdog@stevens.edu Babbio 429A



More Information

Course Description

This course is the first course for the certificate in Financial Services Analytics. Financial services analytics is the science and technology of creating data-driven decision-making analytics for the financial services industry. This can lead to more effective business operations, enhanced customer services and product offerings, and improved risk analysis and risk management. This course is the key building block in this certificate as good data and the understanding of data is critical to the creation of robust financial services analytics. The financial services analytics certificate has four key areas making up its knowledge base:

  • Foundations of Financial Data Science (FE-582)
  • Introduction to Knowledge Engineering (FE-590)
  • Financial Systems Technology (FE-595)
  • Data Visualization Applications (FE-550)

 

 

Co-Requisite: FE 513 – Practical Aspects of Database Design

Course Outcomes

After taking this course, the students will be able to:

  1. Have a working knowledge of the issues of data quality, data storage, data scrubbing, data flows, and data encryption and their potential solutions.
  2. Understand and design various schemas needed for the representation of financial data.
  3. Tackle problems dealing with data management issues such as collection, warehousing, preprocessing and querying.
  4. Will get a primer on database management as well as advantages and disadvantages from the attached lab course FE 513.
  5. Understand how to write applications using the map-reduce feature of Hadoop clusters.
  6. Have a working understanding of all the databases available for them through the Hanlon lab.
  7. Apply the newly acquired data management and database skills to financial data from the capital markets, social media, and the financial services sector.


Course Resources

Textbook

No single textbook covers all the topics. Several references will be used and supplementary notes will be provided whenever appropriate.

Additional References

  1. Charu C. Aggarwal, Data Classification: Algorithms and Applications. CRC Press, 2015. (ISBN: 978-1-4665-8674-1)
  2. Charu C. Aggarwal, Data Mining. Springer, 2015. (ISBN: 978-3-319-14141-8)
  3. Deborah Nolan and Duncan T. Lang, Data Science in R: A Case Studies Approach to Computational Reasoning and Problem Solving, CRC Press, 2015. (ISBN: 978-1-4822-3481-7)
  4. Norman Matloff, The Art of R Programming, No Starch Press, 2011. (ISBN: 978-1-59327-384-2)
  5. Cathy O’Neil and Rachel Schutt, Data Science, O’Reilly, 2014. (ISBN: 978-1-449-35865-5)



Grading

Grading Policies

Assignments 60% 
Project 40%


Lecture Outline

Topic Reading
Week 1 Introduction to Financial Data Science

Data Science Process

Sample Data Processing

The Basic Data Types

The Major Building Blocks: A Bird’s Eye View

Introduction to R

Case Study: Exploratory Data Analysis (NYC Real Estate)

Week 2 Financial Data Quality Issues and Data Scrubbing.

Data Preparation

Feature Extraction and Portability

Data Cleaning

Data Reduction and Transformation

Handling Missing Entries

Handling Incorrect and Inconsistent Entries

Sampling for Static Data and Data Streams

Dimensionality Reduction Intro

Week 3 Case Study: Data and Web Technologies

Web page retrieval, scrapping, regular expression extraction, basic statistical techniques to identify wrong data entries

Linear Model

Piecewise linear model

Week 4 Similarity and Distances

Impact of High Dimensionality

Lp-norm. Generalized Minkovski Distance. Contrast

Impact of Locally Irrelevant Features. Impact of Different Lp-Norms

Match-Based Similarity Computation

Impact of Data Distribution. ISOMAP

Impact of Local Data Distribution. Similarity on Categorical Data

Similarity on Mixed Quantitative and Categorical Data

Text Similarity Measures. Time Series Similarity Measures

Week 5 Clustering Methods

K-Means Clustering

Hierarchical Clustering

Case Study: Clustering (NYC Real Estate)

Financial Data Simulation

Week 6 Classification Methods

Logistic Regression

Linear Discriminant Analysis

Quadratic Discriminant Analysis, K-NN

Week 7 Mining Text Data

Specific Characteristics

Document Preparation and Similarity Computation

Specialized Clustering Methods for Text

Probabilistic Algorithms

Co-Clustering

Topic Modeling

Specialized Classification Methods for Text

Case Study: MangoDB Application

Week 8 No Class (Spring Break)
Week 9 Case Study: Using Statistics to Identify Spam
Week 10 Tree-Based Methods. Regression Trees. Tree Pruning.
Week 11 Financial Time Series

Using Decision Tree to Trade Stock

Building a Trading Strategy

Handling Time-Dependent Data in R

The Prediction Models

Week 12 Outlier Detection
Week 13 Hadoop. HDFS. MapReduce. Hive. Pig
Week 14 Final Project Presentations