Statistics, Econometrics and Quantitative Methods

S420 Statistics of Financial Markets


Lecturer:   Prof. Dr. Martin Biewen, Miriam Sturm, MSc

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, 10-12, HS111, Wilhelmstr. 26
Tue, 12-14, E03, Mohlstr. 36 (exception: 17.10.2023, HS111)
Wed, 12-14, HS111, Wilhelmstr. 26
Start:   16.10.2023
Exam:   Written exam (90 Min.)
Credits:   9 ECTS

Course Outline

The course consists of lecture sessions and practical class sessions.

The following slots will be reserved for the practical class:

13.11., 14.11., 15.11, 05.12., 06.12., 13.12., 23.01. (changed from 16.01.!), 24.01. (changed! from 17.01.!) , 29.01., 30.01.

Details will be provided via Ilias. Please prepare the corresponding problem set for each practical class.

There will be no lecture or practical class on the following dates:

01.11. (holiday), 06.11.-08.11., 05.02.-07.02.

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.


Main References:

Trede/Schmid: Finanzmarktstatistik
Franke/Härdle/Hafner: Statistics of Financial Markets
Härdle/Simar: Applied Multivariate Statistical Analysis

Supplementary References:

Danielsson: Financial Risk Forecasting
Campbell/Lo/MacKinlay: The Econometrics of Financial Markets
Klemelä: Nonparametric Finance
McNeil/Frey/Embrechts: Quantitative Risk Management
Ruppert: Statistics and Data Analysis for Financial Engineering
Efron/Hastie: Computer Age Statistical Inference
Baum: An Introduction to Modern Econometrics Using Stata
Bofelli/Urga: Financial Econometrics Using Stata