Course Syllabus

Course Information：

Year-Semester Course Number Course Name Phase Credits Hours Required/Elective Instructor Class Student NO. Withdraw Note

Spring Semester
Year 2019 260018 Algorithm Trading II 1 3.0 3 ★ Wu, Mu-en GIFM 12 0 有修過"演算法交易(一)"才能選修"演算法交易(二)"

Year-Semester	Course Number	Course Name	Phase	Credits	Hours	Required/Elective	Instructor	Class	Student NO.	Withdraw	Note
Spring Semester Year 2019	260018	Algorithm Trading II	1	3.0	3	★	Wu, Mu-en	GIFM	12	0	有修過"演算法交易(一)"才能選修"演算法交易(二)"

Course Plan：

Instructor Wu, Mu-en

Email mnasia1@gmail.com

Last Updated 2019-03-06 19:51:17

Course Objective 本課程分為上下學期，介紹如何將金融操作方式，以明確演算法去定義、描述，進而用R語言、XQ去模擬、執行。內容包括: 程式交易概論、交易策略研發、回測系統、資金管理。此外，本課程邀請嘉實資訊經理擔任業師課程指導。嘉實資訊為國內最大財金資訊軟體公司，其業師將帶領同學銜接上學期課程，透過XQ交易系統進行撰寫XS語法。 This course is divided into the two parts. We introduce how to trade in financial market. We define and describe the algorithm, and then uses R language and XQ to simulate and execute. The contents include: Introduction to program trading, trading strategy development, back-testing system, and money management. In addition, this course invites the management of Sysjust company to serve as a course guide. Sysjust is the largest financial information software company in Taiwan. The purpose is to let students to connect to the theory and practice.

Course Schedule 週次主題 1 金融交易與資金管理 Financial Trading and Money Management 2 凱利公式 Kelly criterion 3 最佳化比例 optimal fraction 4 槓桿空間模型 Leverage Space Model 5 固定分數 Fixed Fraction 6 固定比例 Fixed Ratio 7 現代投資組合理論 Modern Portfolio Theory 8 現代投資組合理論Modern Portfolio Theory 9 期中考 Mid exam 10 類神經網路運用於資金管理 Neutral network in money management 11 金融交易相關文獻探討 literature in finance 12 XQ程式交易軟體 XQ softeare 13 XQ程式交易軟體 XQ softeare 14 XQ程式交易軟體 XQ softeare 15 XQ程式交易軟體 XQ softeare 16 XQ程式交易軟體 XQ softeare 17 期末成果發表 Final Project 18 期末成果發表 Final Project

Evaluation and grading policy 期中考 Mid Exam 40% 上課表現 class attending 30% 期末發表 project 30%

Materials All right reserved. Do not reproduce without permission.

Foreign-language textbooks:No
https://www.books.com.tw/products/CN11250738

The access to curricular consultation

Note
　

Instructor	Wu, Mu-en
Email	mnasia1@gmail.com
Last Updated	2019-03-06 19:51:17
Course Objective	本課程分為上下學期，介紹如何將金融操作方式，以明確演算法去定義、描述，進而用R語言、XQ去模擬、執行。內容包括: 程式交易概論、交易策略研發、回測系統、資金管理。此外，本課程邀請嘉實資訊經理擔任業師課程指導。嘉實資訊為國內最大財金資訊軟體公司，其業師將帶領同學銜接上學期課程，透過XQ交易系統進行撰寫XS語法。 This course is divided into the two parts. We introduce how to trade in financial market. We define and describe the algorithm, and then uses R language and XQ to simulate and execute. The contents include: Introduction to program trading, trading strategy development, back-testing system, and money management. In addition, this course invites the management of Sysjust company to serve as a course guide. Sysjust is the largest financial information software company in Taiwan. The purpose is to let students to connect to the theory and practice.
Course Schedule	週次主題 1 金融交易與資金管理 Financial Trading and Money Management 2 凱利公式 Kelly criterion 3 最佳化比例 optimal fraction 4 槓桿空間模型 Leverage Space Model 5 固定分數 Fixed Fraction 6 固定比例 Fixed Ratio 7 現代投資組合理論 Modern Portfolio Theory 8 現代投資組合理論Modern Portfolio Theory 9 期中考 Mid exam 10 類神經網路運用於資金管理 Neutral network in money management 11 金融交易相關文獻探討 literature in finance 12 XQ程式交易軟體 XQ softeare 13 XQ程式交易軟體 XQ softeare 14 XQ程式交易軟體 XQ softeare 15 XQ程式交易軟體 XQ softeare 16 XQ程式交易軟體 XQ softeare 17 期末成果發表 Final Project 18 期末成果發表 Final Project
Evaluation and grading policy	期中考 Mid Exam 40% 上課表現 class attending 30% 期末發表 project 30%
Materials	All right reserved. Do not reproduce without permission. Foreign-language textbooks:No https://www.books.com.tw/products/CN11250738
The access to curricular consultation
Note