S420 Statistics of Financial Markets

Details

Lecturer:		Prof. Dr. Martin Biewen, MSc Miriam Sturm
Profiles:		MSc Accounting and Finance MSc Economics and Finance MSc European Economics MSc European Management MSc General Management MSc International Business MSc International Economics MSc Management and Economics MSc Data Science in Business and Economics MSc Quantitative Data Science Methods MSc Economics
Prerequisites:		Basic knowledge of probability theory, linear algebra and econometric methods
Language:		English
Time and Place:		Downloadable videos
Start:		02.11.2010
Exam:		Written exam (90 Min.)
Credits:		9 ECTS

Course Outline

The lecture videos will be posted on Ilias at the beginning of each week starting 2 November 2020. In weeks with lectures, the live session for the lecture wil take place on Mondays at 5 p.m. via Zoom. You will receive an invitation for the Zoom meeting by email if you are registered for the course in Ilias.

The videos for the practical sessions will be posted in weeks in which there are no lectures according to the plan below. In these weeks, there will also be a Zoom live session to which you will receive an invitation by email from within Ilias. The practical sessions will discuss the solutions to the problem sets. Please prepare your own solutions (or try to do this) in the week before the practical session videos are posted.

Weeks with practical sessions/no lectures:

23.11.2020	Introduction to Stata + Problem Set 1
07.12.2020	Problem Set 2
21.12.2020	Problem Set 3
18.01.2021	Problem Set 4
08.02.2021	Problem Set 5

Course Contents

1) Univariate Return Distributions

2) Extreme Value Theory

3) Multivariate Return Distributions

4) Copulas, Value at Risk

5) ARIMA Time Series

6) Random Walks, Market Efficiency

7) Stochastic Volatility, GARCH Time Series

8) CAPM-Model, Performance Measures

9) Stochastic Dominance

10) Brownian Motion, Stochastic Calculus

11) Option Pricing, Black-Scholes-Model

12) Neural Networks, Support Vector Machines

13) Credit Risk Management

Course Materials

Course materials will be made available through Ilias. Navigate to the course and register there.

Literature

Trede/Schmid: Finanzmarktstatistik

Franke/Härdle/Hafner: Statistics of Financial Markets

Härdle/Simar: Applied Multivariate Statistical Analysis

Danielsson: Financial Risk Forecasting

Campbell/Lo/MacKinlay: The Econometrics of Financial Markets

Klemelä: Nonparametric Finance

McNeil/Frey/Embrechts: Quantitative Risk Management

Efron/Hastie: Computer Age Statistical Inference

Baum: An Introduction to Modern Econometrics Using Stata

Bofelli/Urga: Financial Econometrics Using Stata