Кто читает:: Департамент финансов

Статус:: Курс по выбору

Когда читается:: 4-й курс, 1 модуль

Преподаватель

Ичкитидзе Юрий Роландович

Full Syllabus

Abstract

The course is designed to introduce the various spectrum of quantitative financial econometrics. It discusses about some of the important contemporary statistical methods and its practical applications in the field of finance. The course starts with the basic concepts such as random walk hypothesis and progresses towards the advanced topics such as Simultaneous Equations Models, Copula and Wavelets. After mastering this course, the students will gain substantial knowledge about the financial econometrics and will be able to apply the models in solving real life problems in finance. Successful completion of the course will make them ready for the job market as well as for rigorous research in finance.

Learning Objectives

The students will gain substantial knowledge about the financial econometrics and will be able to apply the same in solving real life problems in finance. Successful completion of the course will make them ready for the job market.

Expected Learning Outcomes

Understand the principles of financial econometrics and its methodology
Know the tools of financial econometrics
Understand and be able to implement the correct econometric models for each financial problem

Course Contents

Random Walk Hypothesis
Efficient Frontier
Introduction to Asset Pricing Models
Risk Analysis
Portfolio Optimisation
System Estimation by Instrumental Variables

Assessment Elements

In-class participations
Individual/group project
Final exam
Here are the instructions for your upcoming End term exam on Financial Econometrics. Medium: Via LMS Type of Exam: Open Book (Part A) and S/W Execution based (Part B) Total Marks: 55 (Part A: 35 and Part B: 20) Number of Questions: Part A: Seven Questions… Part B: Problem statement & Dataset Allowed: Both online and offline resources…You may refer all available resources Not Allowed: Late Submission; Copy and Paste (Similarly above 15 %) Exam Execution Details: Step 1: Part A: Questions will be uploaded in the LMS and Part B: Dataset will be send to your mail at the end of the day June 11, 2020 around 23:59 PM Step 2: You will have full day to answer the questions(Part A & B) on 12/06/2020 and … deadline for submission of the question answers(Part A & B) will be by the end of the same day in PDF format via LMS : 12/06/2020; 23:59:59 Hours SPB Time.

Interim Assessment

2021/2022 1st module
0.3 * Individual/group project + 0.3 * In-class participations + 0.4 * Final exam

Bibliography

Recommended Core Bibliography

An introduction to trading in the financial markets: market basics, Williams, R.T., 2011
Gregory-Williams, J., & Williams, B. (2004). Trading Chaos : Maximize Profits with Proven Technical Techniques: Vol. 2nd ed. Wiley.
Handbook of financial econometrics : Volume 1-2. v. 1: Tools and techniques, ,
Handbook of financial econometrics : Volume 1-2. v. 2 : Applications, ,
Harris, L. (2002). Trading and Exchanges : Market Microstructure for Practitioners. Oxford: Oxford University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2096842
Tsay, R. S. (2002). Analysis of Financial Time Series : Financial Econometrics. New York: John Wiley & Sons, Inc. [US]. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=87319

Recommended Additional Bibliography

Choudhry, M. (2011). Bank Asset and Liability Management : Strategy, Trading, Analysis. Chichester: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1103864

Бакалаврская программа «Экономика»

Контакты

Financial Econometrics