Statistics, Econometrics and Quantitative Methods

S420 Statistics of Financial Markets

Details

Lecturer:   Prof. Dr. Martin Biewen, MSc Miriam Sturm
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:   Downloadable videos + weekly live sessions Mon 10-12
Start:   18.10.2021
Exam:   Written exam (90 Min.)
Credits:   9 ECTS

Course Outline

The lecture videos and the videos for the practical sessions will be posted on Ilias each week (already at the weekend that precedes the given week). In addition, there will be a weekly live session Mon 10-12 refering to the material of the previous week (usually a lecture week, except if the previous week was practical sessions week; see below). You will receive an invitation for the Zoom live session by email if you are registered for the course in Ilias. Please prepare your solutions to the problem sets before you watch the practical session videos or take part in the corresponding live session.

Schedule for practical sessions:

  Video Live session
Introduction to Stata + Problem Set 1 08.11.2021 15.11.2021
Problem Set 2 22.11.2021 29.11.2021
Problem Set 3 06.12.2021 13.12.2021
Problem Set 4 20.12.2021 10.01.2022
Problem Set 5 24.01.2022 31.01.2022

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. Register in Ilias before the first live session on Mon 18.10.2021, 10-12, because it is only in this way that you can receive the Zoom link that allows you to take part in this session.

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