S420 Statistics of Financial Markets

Details

Lecturer:		Prof. Dr. Martin Biewen, Miriam Sturm, MSc
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, 10-12, HS111, Wilhelmstr. 26 Tue, 12-14, E03, Mohlstr. 36 (exception: 17.10.2023, HS111) Wed, 12-14, HS111, Wilhelmstr. 26
Start:		16.10.2023
Exam:		Written exam (90 Min.)
Credits:		9 ECTS

The course consists of lecture sessions and practical class sessions.

The following slots will be reserved for the practical class:

13.11., 14.11., 15.11, 05.12., 06.12., 13.12., 23.01. (changed from 16.01.!), 24.01. (changed! from 17.01.!) , 29.01., 30.01.

Details will be provided via Ilias. Please prepare the corresponding problem set for each practical class.

There will be no lecture or practical class on the following dates:

01.11. (holiday), 06.11.-08.11., 05.02.-07.02.

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 will be made available through Ilias.

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

Baum: An Introduction to Modern Econometrics Using Stata

Bofelli/Urga: Financial Econometrics Using Stata