S420 Statistics of Financial Markets
Details
| Lecturer: | Prof. Dr. Martin Biewen, MSc Miriam Morlock | |
| Profiles: | MSc Accounting and Finance | |
| Prerequisites: | Basic knowledge of probability theory, linear algebra and econometric methods | |
| Language: | English | |
| Time and Place: | Mon 12:15-13:45, Neue Aula, HS 04 Tue 8:30- 10:00, OSA-Keplerstr. 2; 036 Seminarraum 1 Wed 12:15-13:45, Neue Aula, HS 04 | |
| Start: | 15.10.2018 There will be no lectures or practical classes on the following days: 17.10.2018 24.10.2018 21.11.2018 04.12.2018 | |
| 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) Neural Networks, Support Vector Machines
13) Credit Risk Management
Practical Sessions
We expect you to prepare the problem sets for each practical class. The practical class will also include exercises in Stata as well as the discussion of old exams.
Practical sessions will be on the following days:
05.11.-07.11.2018
03.12., 05.12.2018
17.12.-19.12.2018
14.01.-16.01.2019
28.01.-30.01.2019
Course Materials
Course materials will be made available through Ilias.
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