Applied Financial Economics -- Programming: Excel, VBA and R

Chiu Yu Ko

Chiu Yu Ko

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This book is about programming for trading in financial market. We cover Excel (Part 1), Excel VBA (Part 2) and R (Part3) are covered. We first cover Excel that requires minimum programming technique, it is desirable to start learning it first. Then Excel VBA is covered to provide a smooth transition to more complicated R programming. In particular, students first learn how to use Excel to generate a simple trading system and this builds the foundation for the more complicated trading system in R.

Excel VBA is commonly used for computationally less demanding calculations in both academic and business world. Students are prepared to how to use them to do various financial analysis including fundamental analysis, technical analysis and time series analysis. In particular, students will learn how to write an analyst report, and create computer-aided technical trading system.

R is widely used in computationally heavy financial and statistical computation. Students are prepared how to do data manipulation, conduct econometric analysis (regression, time series), plotting package, webscrapping, and financial analysis. In particular, students will learn how to backtest complex trading strategy and evaluate the performance.

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 Dr. Chiu Yu Ko received his Doctor of Philosophy in Economics from Boston College in 2012. Before moving to US, he obtained his Master of Philosophy in Economics and Bachelor of Business Administration in Insurance, Finance and Actuarial Analysis from the Chinese University of Hong Kong in 2005 and 2007, respectively. He joined Department of Economics, the National University of Singapore as an assistant professor in 2012.

Dr. Ko's research focuses on game theory with application in resource allocation, industrial  organization and political economy. For resource allocation, he works on problem of cost sharing. For industrial organization, he specializes in innovation and platform competition. For political economy, he is interested in the design of political system.

Dr. Ko teaches Microeconomic Analysis III" (Undergraduate), Financial Market Microstructure" (Undergraduate), Applied Financial Economics" (Master) and Industrial Organization" (Ph. D) in National University of Singapore. He subscribes to the philosophy that eective learning requires understanding of multiple facets in both depth and breadth. He also believes that giving students continuous feedback during the course is crucial as it means they learn from their mistakes, consolidate the knowledge they have acquired and gives them the motivation to explore further and deeper.