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Магистратура 2023/2024

Финансовая эконометрика

Статус: Курс по выбору (Финансы)
Направление: 38.04.08. Финансы и кредит
Когда читается: 1-й курс, 4 модуль
Формат изучения: без онлайн-курса
Охват аудитории: для всех кампусов НИУ ВШЭ
Преподаватели: Орландо Джузеппе
Прогр. обучения: Финансы
Язык: английский
Кредиты: 3
Контактные часы: 32

Course Syllabus


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 such as random walk hypothesis and progresses towards the advanced topics such as Simultaneous Equations Models, Copula and Wavelets. After mastering this course, the students will gain substantial knowledge about the financial econometrics and will be able to apply the models in solving real life problems in finance. Successful completion of the course will make them ready for the job market as well as for rigorous research in finance.
Learning Objectives

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.
Expected Learning Outcomes

Expected Learning Outcomes

  • Understand the principles of financial econometrics and its methodology
  • Know the tools of financial econometrics
  • Understand and be able to implement the correct econometric models for each financial problem
Course Contents

Course Contents

  • Random Walk Hypothesis
  • Efficient Frontier
  • Portfolio Optimisation
  • Introduction to Asset Pricing Models
  • Risk Analysis
  • System Estimation by Instrumental Variables
  • Scope and Methodology of Econometrics
  • Geometric Brownian Motion
  • Introduction to Fat tails
  • Introduction to Copula Models
  • Introduction to Wavelets
  • Project Presentation
Assessment Elements

Assessment Elements

  • non-blocking In-Class Activity
  • non-blocking Project work
  • non-blocking Exam
Interim Assessment

Interim Assessment

  • 2023/2024 4th module
    0.5 * Exam + 0.2 * In-Class Activity + 0.3 * Project work


Recommended Core Bibliography

  • An introduction to trading in the financial markets: market basics, Williams, R.T., 2011
  • Brani Vidakovic, & Peter Mueller. (1991). Wavelets for kids: A tutorial introduction. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.1D880B33
  • Eugene F. Fama, & Kenneth R. French. (2004). The Capital Asset Pricing Model: Theory and Evidence. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.D1F2477F
  • Eugene F. Fama. (1965). Random Walks in Stock-Market Prices. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.1D3A556E
  • FAMA, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance (Wiley-Blackwell), 25(2), 383–417. https://doi.org/10.2307/2325486
  • 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
  • MARKOWITZ, H. (1952). Portfolio Selection. Journal of Finance (Wiley-Blackwell), 7(1), 77–91. https://doi.org/10.2307/2975974
  • Markowitz, H. M. (1991). Foundations of Portfolio Theory. Journal of Finance (Wiley-Blackwell), 46(2), 469–477. https://doi.org/10.1111/j.1540-6261.1991.tb02669.x
  • Robert F. Engle, & Simone Manganelli. (1999). CAViaR: Conditional Value at Risk By Quantile Regression. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.4F958AC4
  • 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
  • Tsay, R. S. (2010). Analysis of Financial Time Series (Vol. 3rd ed). Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=334288

Recommended Additional Bibliography

  • C. Merton, & Robert C. Merton. (1972). An analytic derivation of the efficient portfolio frontier. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.67631990
  • 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
  • Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, (3), 341. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.eee.jetheo.v13y1976i3p341.360