ICM316-Programming for FinTech (Python)

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:7
Terms in which taught: Autumn term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2021/2

Module Convenor: Dr Vu Tran
Email: v.tran@icmacentre.ac.uk

Type of module:

Summary module description:

In this module you will be introduced to Python, a programming language that has become an industry standard and is widely used to produce innovative financial products and services. Common applications include big data analysis and manipulation, algorithmic trading, portfolio analysis, and machine learning algorithms. Students who complete this course will be able to write programming functions in Python, process data files including reading, modifying and writing data to external files. Specifically, students will be able to read and write to Excel, CSV and Text files, connect to databases, obtain and process data from the Web, as well as use Python for Finance and Econometrics applications including developing trading strategies and back testing with historical data. By the end of the module students are expected to produce a simple Python application to solve real world financial problems. No prior programming experience is required.

Aims:

The module focuses on (1) Computational programming fundamentals (2) fundamentals of object-oriented programming (3) Python step by step: conditional statements, functions, sequences and loops (4) key Python libraries for data manipulation, visualisation and statistical analysis which include financial time series regressions and portfolio optimisation (5) input / output operations with excel integration (6) rapid web applications and web services integration (7) finance applications: efficient portfolio frontier, multivariate regressions, algorithmic trading, option pricing and Monte Carlo simulations (8) Build your own finance tool.Ìý

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Assessable learning outcomes:

By the end of the module it is expected that students will be able to:Ìý

• Discuss the principles behind object-oriented programmingÌý


• Implement divide-and-rule techniques to solve problems with PythonÌý


• Implement Python’s syntax for condi tional statements, functions and loopsÌý


• Upload, organise, manipulate, visualise and export databases of various formatsÌýÌý


• Retrieve data from a web-based database and complete textual analysisÌý


• Conduct linear regression analyses in PythonÌý


• Solve portfolio optimisation problems, algorithmic trading, option pricing models and Monte Carlo simulationsÌý

Additional outcomes:

Students will be able to consolidate their knowledge of the tools and strategies learnt in this module by completing a project where they will be asked to build a Python programme to solve a practical finance problemÌý

Outline content:

1. Python and object-oriented programmingÌý


2. Python syntax: conditional statements, functions, sequences and loopsÌý


3. Data science basics: NumPy and Pandas packagesÌý


4. Input / Output operations and excel integrationÌýÌý


5. Financial time series analysis – Linear regressions and data visualisation


6. Mathematical tools and statistics – Portfolio optimisationÌý


7. Mo nte Carlo simulationsÌý


8. Derivatives Analytics library – Asset pricing, derivatives valuation and volatility


9. Python and systematic trading – Incorporating signals and technical indicatorsÌý


10. Traders chat room, online forums and investments

Global context:

The finance application in this module will be based on international examples. Python is one of the most common programming languages for FinTech applications worldwide. For example:ÌýÌý

• Athena -- J.P. Morgan's cross-market risk management and trading system that provides functionality for traders, salespeople and operations staff globally;Ìý


• Quartz -- Bank of America Merrill Lynch's integrated trading, position management, pricing and risk management platform;Ìý


• Venmo -- a mobile payment service owned by PayPal which allows users to transfer money to others using a mobile phone app.Ìý

Brief description of teaching and learning methods:

(1) If Python is your first coding language, do the tutorial at https://www.learnpython.orgÌý

(2) If you have coded before, work through the challenges at https://www.hackerrank.com/domains/pythonÌý

The core theory and concepts will be presented during lectures. Problem sets will be solved in workshops.Ìý

Summative assessment- Examinations:

Summative assessment- Coursework and in-class tests:

Students will be asked to complete:Ìý

• an in class multiple choice tests (25%) in Week 9Ìý


• a set exercise (25%) in Week 12Ìý


• an individual project (50%) in Week 20

Formative assessment methods:

Seminar questions are assigned for each class. The seminar leader will facilitate discussion and offer feedback.Ìý

Penalties for late submission:

Penalties for late submission on this module are in accordance with the University policy.

Please refer to page 5 of the Postgraduate Guide to Assessment for further information:

http://www.reading.ac.uk/internal/exams/student/exa-guidePG.aspx

Assessment requirements for a pass:

50% weighted average mark

Reassessment arrangements:

By individual project to be submitted in August/September

Additional Costs (specified where applicable):

1) A computer with at least 8Gb RAM.Ìý

2) Recommended e-book:Ìý

Yves Hilpisch (2019) Python for Finance: Mastering Data-Driven Finance 2nd Edition.Ìý

Guide price: £37.25

Last updated: 8 April 2021