S420 Statistics of Financial Markets
Details
| Lecturer: | Prof. Dr. Martin Biewen, MSc Miriam Sturm | |
| Profiles: | MSc Accounting and Finance | |
| Prerequisites: | Basic knowledge of probability theory, linear algebra and econometric methods | |
| Language: | English | |
| Time and Place: | Mon 10:15-11:45, Tue 12:15-13:45, Wed 12:15-13:45 HS 24 | |
| Start: | 17.10.2022 On the following days, there will be no lecture or practical class: 01.11., 09.11., 19.12., 20.12., 18.01. | |
| Exam: | Written exam (90 Min.) There will be only one central exam review possibility per first and second exam. The date of the exam review will be published here under "News" after each exam. | |
| Credits: | 9 ECTS |
Course Outline
On the following days, there will be practical sessions instead of lectures. Please (try to) solve the problem sets before you take part in the practical session.
Practical sessions:
| 31.10.+02.11.2022 | Problem Set 1 |
| 22.11.+23.11.2022 | Problem Set 2 |
| 06.12.+07.12.2022 | Problem Set 3 |
| 10.01.+11.01.2023 | Problem Set 4 |
| 24.01.+25.01.2023 | Problem Set 5 |
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. Navigate to the course and register there.
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
Bofelli/Urga: Financial Econometrics Using Stata