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:		Mon 10:15-11:45, Tue 12:15-13:45, Wed 12:15-13:45 HS 24
Start:		17.10.2022 On the following days, there will be no lecture or practical class: 01.11., 09.11., 19.12., 20.12., 18.01.
Exam:		Written exam (90 Min.) There will be only one central exam review possibility per first and second exam. The date of the exam review will be published here under "News" after each exam.
Credits:		9 ECTS

Course Outline

On the following days, there will be practical sessions instead of lectures. Please (try to) solve the problem sets before you take part in the practical session.

Practical sessions:

31.10.+02.11.2022	Problem Set 1
22.11.+23.11.2022	Problem Set 2
06.12.+07.12.2022	Problem Set 3
10.01.+11.01.2023	Problem Set 4
24.01.+25.01.2023	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