ETF3300 · Quantitative methods for financial markets

Overview

This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series. It teaches how to model and estimate the single-factor and multiple-factor capital asset pricing models; and conduct diagnostic checks and reliable statistical inferences on various risk-return relationships and financial market hypotheses. It also introduces recent literature on modelling, estimating and forecasting financial markets' volatility; and parametric and nonparametric methods to estimate the value at risk and expected shortfall. Statistical software will be used to carry out financial data analysis and applied research projects.

Offerings

Assessment

The Handbook lists an examination for this unit.

Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.

Requisites

Learning outcomes

1. analyse and interpret the time series patterns and distributional characteristics of financial data to gain insights into market trends
2. assess the relationship between risk and return for various financial assets to make data-driven investment decisions
3. apply statistical methods to test market hypotheses and evaluate asset pricing models
4. analyse and model the volatility of financial returns, and utilise measures such as value-at-risk (VaR) to assess and manage potential risks associated with investment portfolios
5. demonstrate proficiency in applying statistical software such as R to perform statistical analysis and derive meaningful insights from financial data for business applications.

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.

Student experience, not official rules. Nothing here changes what the Handbook says.