Bachelor 2020/2021

Financial Econometrics

Type: Elective course (Economics)

Area of studies: Economics

Delivered by: Department of Finance

Where: St.Petersburg School of Economics and Management

When: 4 year, 1 module

Mode of studies: offline

Instructors: Yuriy Ichkitidze

Language: English

ECTS credits: 3

Contact hours: 24

Course Syllabus

Abstract

The course is designed to introduce the various spectrum of quantitative financial econometrics. It discusses about some of the important contemporary statistical methods and its practical applications in the field of finance. The course starts with the basic concepts like random walk hypothesis and progresses towards the advanced topics like copula and wavelets.

Learning Objectives

• The students will gain substantial knowledge about the financial econometrics and will be able to apply the same in solving real life problems in finance. Successful completion of the course will make them ready for the job market.

Course Contents

• Random Walk Hypothesis
  Random Walk Models
• Efficient Frontier
• Introduction to Asset Pricing Factor Models
  CAPM Multifactor Asset Pricing Models
• Risk Analysis
  Volatility risk ARCH & GARCH Models Value at Risk Models
• Portfolio Optimisation
• Developing and Testing Trading Strategies

Assessment Elements

• In-class participations
• Individual/group project
• Final exam
  Here are the instructions for your upcoming End term exam on Financial Econometrics. Medium: Via LMS Type of Exam: Open Book (Part A) and S/W Execution based (Part B) Total Marks: 55 (Part A: 35 and Part B: 20) Number of Questions: Part A: Seven Questions… Part B: Problem statement & Dataset Allowed: Both online and offline resources…You may refer all available resources Not Allowed: Late Submission; Copy and Paste (Similarly above 15 %) Exam Execution Details: Step 1: Part A: Questions will be uploaded in the LMS and Part B: Dataset will be send to your mail at the end of the day June 11, 2020 around 23:59 PM Step 2: You will have full day to answer the questions(Part A & B) on 12/06/2020 and … deadline for submission of the question answers(Part A & B) will be by the end of the same day in PDF format via LMS : 12/06/2020; 23:59:59 Hours SPB Time.

Interim Assessment

• Interim assessment (1 module)
  0.55 * Final exam + 0.2 * In-class participations + 0.25 * Individual/group project

Bibliography

Recommended Core Bibliography

• An introduction to trading in the financial markets: market basics, Williams, R.T., 2011
• Gregory-Williams, J., & Williams, B. (2004). Trading Chaos : Maximize Profits with Proven Technical Techniques: Vol. 2nd ed. Wiley.
• Handbook of financial econometrics : Volume 1-2. v. 1: Tools and techniques, ,
• Handbook of financial econometrics : Volume 1-2. v. 2 : Applications, ,
• Harris, L. (2002). Trading and Exchanges : Market Microstructure for Practitioners. Oxford: Oxford University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2096842
• Tsay, R. S. (2002). Analysis of Financial Time Series : Financial Econometrics. New York: John Wiley & Sons, Inc. [US]. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=87319

Recommended Additional Bibliography

• Choudhry, M. (2011). Bank Asset and Liability Management : Strategy, Trading, Analysis. Chichester: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1103864