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61 - 70 of 162 results for: MS&E

MS&E 237A: Bandit Learning: Behaviors and Applications (EE 277)

The subject of reinforcement learning addresses the design of agents that improve decisions over time while operating within complex and uncertain environments. This first course of the sequence restricts attention to the special case of bandit learning, which focuses on environments in which all consequences of an action are realized immediately. This course covers desired agent behaviors and principled scalable approaches to realizing such behavior. Topics include learning from trial and error, exploration, contextualization, generalization, and representation learning. Motivating examples will be drawn from recommendation systems, crowdsourcing, education, and generative artificial intelligence. Homework assignments primarily involve programming exercises carried out in Colab, using the python programming language and standard libraries for numerical computation and machine learning. Prerequisites: programming (e.g., CS106B), probability (e.g., MS&E 121, EE 178 or CS 109), machine learning (e.g., EE 104/ CME 107, MS&E 226 or CS 229).
Terms: Aut | Units: 3

MS&E 237B: Reinforcement Learning: Behaviors and Applications (EE 370)

This course treats reinforcement learning, which addresses the design of agents to operate in environments where actions induce delayed consequences. Concepts generalize those arising in bandit learning, which is covered in EE277/MS&E 237A. The course covers principled and scalable approaches to realizing a range of intelligent learning behaviors. Topics include planning, credit assignment, and learning of models, value functions, and policies. Motivating examples will be drawn from generative artificial intelligence, web services, control, and finance. Prerequisites: EE277.
Terms: Win | Units: 3

MS&E 238: Computational and Algorithmic Aspects of Fairness

Fairness means different things to different people, and in different contexts. This class discusses how fairness has been applied in settings where an algorithm is computing or mediating an outcome. Settings involve resource allocation by a centralized decision maker, fair division of a cake among agents using a game, market mechanisms for resource allocation, bail and credit decisions, social choice, fair allocation of costs, recommendation systems, recruitment, admissions, and computational advertising. In each setting, we describe commonly used fairness criteria, efficiency of computation, existence of solutions that match these criteria, and examples of how these criteria are deployed in practice. Prerequisites: MS&E 111 or CS 161; knowledge of game theory; knowledge of analysis. Students without prior knowledge of game theory will be required to complete a separate one week "introduction to game theory" online module during the first two weeks of class.

MS&E 239: Market Design in Action

This project-based experiential course is designed for advanced undergraduate and masters students familiar either with market design basics or machine learning methods who are interested in studying and potentially building a platform in a specific application domain. Applications of interest include the sharing economy, online advertising, blockchains and decentralized finance, as well as markets for allocating public goods. Prerequisites: 230, 260, CS 230, or equivalents.
Last offered: Spring 2022

MS&E 240: Accounting for Managers and Entrepreneurs (MS&E 140)

Non-majors and minors who have taken or are taking elementary accounting should not enroll. Introduction to accounting concepts and the operating characteristics of accounting systems. The principles of financial and cost accounting, design of accounting systems, techniques of analysis, and cost control. Interpretation and use of accounting information for decision making. Designed for the user of accounting information and not as an introduction to a professional accounting career.
Terms: Spr, Sum | Units: 3

MS&E 241: Economic Analysis (MS&E 141)

Principal methods of economic analysis of the production activities of firms, including production technologies, cost and profit, and perfect and imperfect competition; individual choice, including preferences and demand; and the market-based system, including price formation, efficiency, and welfare. Practical applications of the methods presented. Recommended: 111 or 211, and ECON 50.
Terms: Win | Units: 3-4

MS&E 243: Energy and Environmental Policy Analysis

Concepts, methods, and applications. Energy/environmental policy issues such as automobile fuel economy regulation, global climate change, research and development policy, and environmental benefit assessment. Group project. Prerequisite: MS&E 241 or ECON 50.
Terms: Spr | Units: 3

MS&E 244: Statistical Arbitrage

Practical introduction to statistical arbitrage, which typically refers to trading strategies that are bottom up, market neutral, with trading driven by statistical or econometric models. Models may focus on tendency of short term returns to revert, leads/lags among correlated instruments, volume momentum, or behavioral effects. A classic statistical arbitrage program is relatively high frequency over a large universe of stocks and is driven algorithmically. This course discusses a taxonomy of market participants and what motivates trading, data: different types, how to obtain data, timestamps, errors and dirty data, methods of exploring relationships between instruments, forecasting, portfolio construction across a large number of instruments, trading: the execution of portfolio changes in real markets, risks inherent in statistical arbitrage, nonstationarity of relationships due to changes in market regulations, fluctuations in market volatility and other factors, frictions such as c more »
Practical introduction to statistical arbitrage, which typically refers to trading strategies that are bottom up, market neutral, with trading driven by statistical or econometric models. Models may focus on tendency of short term returns to revert, leads/lags among correlated instruments, volume momentum, or behavioral effects. A classic statistical arbitrage program is relatively high frequency over a large universe of stocks and is driven algorithmically. This course discusses a taxonomy of market participants and what motivates trading, data: different types, how to obtain data, timestamps, errors and dirty data, methods of exploring relationships between instruments, forecasting, portfolio construction across a large number of instruments, trading: the execution of portfolio changes in real markets, risks inherent in statistical arbitrage, nonstationarity of relationships due to changes in market regulations, fluctuations in market volatility and other factors, frictions such as costs of trading and constraints and how strategies scale, analysis of strategies. Prepares students with valuable skills for engaging in quantitative trading in a hedge fund or investment bank trading desk, understanding how to evaluate quantitative strategies from the point of view of an investor or asset allocator, including performance evaluation, risk analysis, and strategy capacity analysis. Occasional hands-on data projects supporting weekly topics. Weekly lectures and a final data-driven project. The objective of the final project is to build, test and analyze some kind of statistical arbitrage strategy. Prerequisites: MS&E 245A or similar, some background in probability and statistics, working knowledge of R, Python or similar computational/statistical package.
Terms: Spr | Units: 3

MS&E 245A: Investment Science

Basic concepts of modern quantitative finance and investments. Focus is on the financial theory and empirical evidence that are useful for investment decisions. Topics: basic interest rates; evaluating investments: present value and internal rate of return; fixed-income markets: bonds, yield, duration, portfolio immunization; term structure of interest rates; measuring risk: volatility and value at risk; designing optimal portfolios; risk-return tradeoff: capital asset pricing model and extensions. No prior knowledge of finance is required. Concepts are applied in a stock market simulation with real data. Prerequisite: basic preparation in probability, statistics, and optimization.
Terms: Aut | Units: 3-4

MS&E 245B: Advanced Investment Science

Formerly MS&E 342. Topics: forwards and futures contracts, continuous and discrete time models of stock price behavior, geometric Brownian motion, Ito's lemma, basic options theory, Black-Scholes equation, advanced options techniques, models and applications of stochastic interest rate processes, and optimal portfolio growth. Computational issues and general theory. Teams work on independent projects. Prerequisite: 245A.
Terms: Spr | Units: 3
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