S420 Statistics of Financial Markets

Details

Lecturer:		Prof. Dr. Martin Biewen, MSc Madalina Tapalaga
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 Managerial Economics MSc Quantitative Economics
Prerequisites:		Basic knowledge of probability theory, linear algebra and econometric methods
Language:		English
Time and Place:		Tue 08:30-10:00, Room: E09, Mohlstr. 36 Wed 12:15-13:45, Room: E09, Mohlstr. 36
Start:		18.10.2016
Exam:		Written exam (60 Min.)
Credits:		6 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

Practical Sessions

Practical sessions will be on the following days:

19.10.2016 (Introduction to Stata)
02.11.2016
22.11.2016
23.11.2016
10.01.2016
11.01.2016
24.01.2017
25.01.2017
07.02.2017
08.02.2017 (Discussion of old exams)

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

Course Materials

Course materials will be made available through Ilias. The course password can be obtained by email to madalina.tapalagaspam prevention@uni-tuebingen.de (only @uni-tuebingen email addresses will be accepted).

Literature

Trede/Schmid: Finanzmarktstatistik

Franke/Härdle/Hafner: Statistics of Financial Markets

Campbell/Lo/MacKinlay: The Econometrics of Financial Markets

McNeil/Frey/Embrechts: Quantitative Risk Management

Baum: An Introduction to Modern Econometrics Using Stata