Statistics, Econometrics and Quantitative Methods

S420 Statistics of Financial Markets


Lecturer:Prof. Dr. Martin Biewen, MSc Madalina Thiele

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 Economics

Prerequisites:Basic knowledge of probability theory, linear algebra and econometric methods
Time and Place:

Mon 10:15-11:45, Room: E09, Mohlstr. 36

Tue 16:15-17:45, Room: E09, Mohlstr. 36

Wed 8:30-10, Room: E09, Mohlstr. 36

Exam:Written exam (90 Min.)
Credits:9 ECTS

Course Outline

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) (New Chapter:) Neural Networks, Support Vector Machines

13) (New Chapter:) Credit Risk Management

Practical Sessions

We expect you to prepare the problem sets for each practical class.

Practical sessions will be on the following days:


Course Materials

Course materials will be made available through Ilias.


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

McNeil/Frey/Embrechts: Quantitative Risk Management

Efron/Hastie: Computer Age Statistical Inference

Baum: An Introduction to Modern Econometrics Using Stata