S420 Statistics of Financial Markets

Details

Lecturer:		Prof. Dr. Martin Biewen, Paula Roth, M.Sc.
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, 12:15-13:45, E03, Mohlstr. 36 (Exception: 12.10: S227 Hölderlinstr./Sigwartstr.) Tue, 12:15-13:45, E02, Mohlstr. 36 Wed, 8:30-10, E03, Mohlstr. 36
Start:		12.10.2026
Exam:		Written exam (90 Min.) After the exam, you will have the opportunity to inspect your marked exam paper at our offices on a specific date, which will be announced on our webpage under “News”. If you would like to make use of this opportunity, please check our webpage after the exam. There will be no other opportunity to inspect your exam paper, either on another date or in another format, such as online.
Credits:		9 ECTS

Course Outline

The course consists of lecture sessions and practical classes.

The following time slots will be reserved for the practical classes: 02.11., 10.11., 18.11., 25.11., 30.11., 07.12., 16.12., 13.01., 18.01., 26.01.

Further details will be provided via ILIAS. Please prepare the corresponding problem set in advance for each practical class.

There will be no lecture or practical class on the following dates: 08.12. and 09.12.

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 via ILIAS.

Literature

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