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Digitise, optimise, visualise - Module 3

Staff - Faculty of Economics

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Optimsation is an important tool across all fields of quantitative research. This includes finance, engineering, economics, biology, physics, astronomy,....you name it. In this summer school you will learn

*) how to formulate a problem

*) when you can be sure that you will find an optimal solution to your problem

*) how to solve an optimisation problem with a computer

*) how to visualise problems and solutions with a computer

To learn all of this we will introduce you to fundamental mathematical ideas that are at the heart of our modern world. These concepts have very appealing geometric interpretations and we will work with innovative teaching concepts and visualisations to sharpen your intuition. Our tool of choice will be python, a widely used program in data science. You will learn how to access data and optimisation libraries and how to visualise your problems. In 3 weeks we will guide you from zero to cutting-edge applications and knowledge that will prove useful in your work as a student, or industry professional.

 

Module 3: Advanced Applications in Optimisation (Feb 5 - Feb 11, 2020, 3 ECTS)
Confronted with large amounts of financial data, how can one find a small set of factors that represent it? You have read about big data and machine learning in the newspaper. Here, we will work together on real-world applications at the very research frontier. Putting everything from the first two modules to work, we will discuss LASSO and Tikhonov regularisations and smart stochastic discount factors. Note that for this advanced course we require you either take the first two modules or prove the required knowledge through certificates of classes that you have taken on the subject.

Syllabus Winter School USI 2019 (t.b.a.)

 

Send questions to: summerschooldov@usi.ch

Full details and link to the registration portal: www.usi.ch/it/summerschooldov2019

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