Tentative Schedule

It will evolve over the course of the Semester, check everyday.
-- Subject to Change ---
The light blue row indicates previous material below.

Wk
Mon Topics PDF
Notes/Assignment
  Course Introduction
1 08/14
  1. Syllabus & Policies
  2. Tu: Simulation Introduction
  3. Th: Movie Thursday:Trillion Dollar Bet (50 minutes) The Midas Formula

[PDF]
[PDF]

HW 1: An Introduction (see link 2nd left column)

piazza link - see HW1 page linked above

 
  Creating a Financial Market Simulator: Python Introduction to Financial Simulation (3-4 weeks)
2   08/21
  1. Mo: Class Photo/Talk about Presentations/and reading technical paper.
    Note: Class Photo activity will be postponed to Tu or Th.
  2. Tu: Python Crash Course
  3. Tu: Python & Library specifics on Financial Modeling Support (numPY, Pandas, SciPY) related to topics in this course.
 [PDF]
[PDF]

 

HW look at presentation page, check out some of the papers, volunteer next week for a paper.

Note that although example2 is a nice write-up overall, the critique of the speaker (last paragraph) is 2/5 - as it did not mention or convey the coverage of particular concepts.

Install Anaconda: 2017-anaconda.txt
3
8/28
  1. Introduction of financial computations in python: pandas, numpy
 [PDF]

 
4 9/04
  1. Towards Market Simulation in python
  2. Tue : Project Setup.
  
Project 1: Financial Market Simulator ( see link 2nd left column)
5, 6 H2 9/11-18
  1. Weather
  2. Daily return, cumulative return, Bollinger bands, Sharp Ratio.
  3. Optimization, minimization.
  

 

Project 1 - will have an extension due to the weather exact

code discussed in class in pdf ( here )

HW 2: modify Bollinger Band program to output the date when to sell or buy a stock:
* parameterize parameters, e.g., window size, and
* standard deviation (std)

10 minute crash course on pandas ( here )

This week is a compression of 2 weeks due to the consequences of Hurricane Irma.

7   9/26
  1. Mo: Market Mechanics: from the order to execution. Order book.
  2. Tu: Project Check
  3. Th. Introduction to discrete event simulation (sequential)

[PDF]

Project 1: Check will be on Tuesday, in class. please bring your laptops. You will not get credit on the project until it is demoed in person.

updated slides in left column.

Tu: Check will be slightly late today
Optimization sample output (I also did Sharpe Ratio and you only need to minimize volatility).

Sample output and plot links below:
sample1-output.txt, sample1-plot.png
  Part 2 of Course: Simulation Execution: Serial/Sequential Discrete Event Simulation Preliminaries
8   10/2
  1. Mo: Discrete Event Simulation
  2. Event Oriented View
  3. Process Oriented View
  4. Th: Soccer Simulator discussion & assignment


[PDF]
[PDF]

Read Ch 1-2.

Th: Grades HW1 (here),

  Parallel Discrete Event Simulation Preliminaries & Optimistic Simulation
9 [P2] 10/9
  1. Mo/Tu: Parallel & Distributed Simulation (Chapter 3)
  2. Tu: Conservative Simulation & Null Message Algorithm finish.
  3. Tu: Will Whiteside
  4. Th: Presentations 1-4
    (1-2) Matthew, Andrew
    (3-4) James O, Bradley
    see pdfs @ (here)
 [PDF]


Read Chapter 3.

Project 2: Soccer Teams in Java: Server created by Will Whiteside (see below for deadline).

 

Summary - you will only need to select 1 paper (from the two presentations) to do a summary. Presenters need to also do a summary.

10   10/16
  1. Mo: Parallel Simulation: Begin Optimistic Simulation
  2. 10/17 Tu: Exam
  3. Th: Go over exam, assign papers,
    Parallel Simulation: Finish Conservative Synchronization, begin Optimistic Simulation
  

Project 1 : Grades (all grades except optimizer) ( here ).
test cases ( orders0, orders1, orders2, orders3, orders4).
raw output of programs ( here ).

output : orders4.csv:
*** with costs (here)
*** without costs (here)

output (with costs):
orders0.txt
orders1.txt
orders2.txt
orders3.txt
orders4.txt

Exam 1 : Financial Modeling, Simulation Execution, slides provides a good outline of topics on exam, also be sure to understand code samples discussed in class.

*content: framed by content/concepts covered on slides, d code snippets, and 2 papers presented in class. And the movie.

optimizer (test cases/output) : (here)
optimizer (test cases/input) : (here)

Exam 1 (grades) [reposted with title bar]
Project 1 (grades - all three parts)
Project 1- optimizer scoring and raw data ( here )

Withdrawal Deadline Thursday 10/19/2017

Projects left:
Soccer project (assigned)
Agent project, e.,g., ants, bees, or fish (not assigned yet),
and Simulation kernel (possibly distributed/parallel).
11
10/23
  1. Finish Conservative Simulation
  2. Optimistic Simulation: Time Warp and Introduction to Local Control
 [PDF]

Project 2 - due Monday at 10:30 AM. A few students indicated that the last update did get refreshed on the web site. The focus of the project is to port teams from ASCII soccer - there are two simpler teams that also needs to be ported as part of project.

 
         
   
   
   
12 10/30
  1. Time Warp: Global Control
  2. Tu: Soccer Competition.
  3. Th: Agent Based Simulation: Swarm (5,6) (David, Thomas), MASON (7,8) (Oscar, Syed), , RePast (9,10) (Ifeoma, Tiara)
 [PDF] Project 3 - assigning agent based simulation. Adding animal behavior. See side column for link to project description. Monday November 13.
13
11/06
  1. Mo : Presentation. see Th above.
  2. Tue: Finish Competition (one presentation may be needed to be presented here).
  3. Th: Agent Based Simulation (Parallel and Distributed), (11,12) Spades (Lauren, Matt B), (13,14) SASSY (Robert, Tyler), Logan, Lees (15,16) (HLA) (John L, Daniel Jeong)
 [PDF] [PDF]

 
14
11/13
  1. GVT: Mattern's Algorithm & other techniques.
  2. Tu: Presentations (17,18) Sayed, Will - Achron, (19,20) Staged Simulations Chris, Johnathan (21,22) Open (last open slot - not claimed).
    Finish: GVT/State Saving.
  3. Th: Exam 2: Parallel Simulation - Conservative and Optimistic. Null algorithm and everything covered after will be covered). No financial modeling. Optimistic vs. Conservative Simulation, GVT Algorithms.
   Attendance Grades so far ( here )
Todo: HW grading/Quizzes & Regrades.

Hand out final project description on Thursday.
    11/20 Thanksgiving Break    
  PF       Final Exam Project. Will be expanded with more suggestions as week progresses.
15 11/27
  1. Final Project Discussion
  2. Tu: Exam 2 Discussion.
  3. Odds and Ends Optimistic Simulation
  4. Th: Presentations (23 ,24) Kayla and Adebunmi - Crowd Simulation ( pdf ) (25,26) Cloning - Yifan Zeng & Friend (27,28) Duncan and Jack
 [PDF] [PDF]

** P3 Grades (here) Project 3 (refreshed)
** * Agent Based Simulation: Building Behaviors.
** P2 soccer grades ( here - 1 student
* * * not yet graded)
** E2 : Exam 2 grades ( here PNG image )



https://www.acm-sigsim-pads.org/Programs/PADS-2017-Program.htm
16
12/04
  1. Mo: Demonstrations (Volunteers) of Project 3, and 'previews' of final project if there is interest.
  2. We: Reading Day
  3. 12/07 Th: Final Exam

    12:00-3:00 PM (this is exam that cannot be rescheduled since we are doing presentations, and you are part of the audience).

    You must be present for full exam period - if you leave before last presenter you grade will be reduced significantly.

  

** Summary Grades : ( here )

** Working on posting full grade book, to post Tuesday (tomorrow). Note if you turned things late, there will be late points applied.

Final Project Presentations are on Thursday 12/7

           
         

Program 1: Final regrades 3rd iteration ( P1)

Grade book before final exam grades/some attendance grades ( here )

 
         
 
12/18
 
Monday, Dec 18, 5 PM, Grades Due
         

 


Acknowledgments

The course may use materials from previous simulation programming courses taught at other universities.