Financial Markets

obligatory courses

(in Polish) Wymagania wstępne

Ekonometria, finanse, analiza matematyczna, algebra liniowa, j. angielski.

The main objective of the course is to present major mechanisms behind the functioning of current financial markets including main classes of operations-speculation, arbitrage and hedging, interconnections between major classes of market participants, organization and strategies of investment funds, mechanisms of central bank interventions.

There is a strong research element in the lectures with discussions of data available for market analysis, details of dataset constructions and problems of their interpretation. There are also practice-oriented discussions of major financial models as well as measures of investment risks and returns.

The lectures are offered to graduate students and conclude with a written test exam.

1-2. Major elements of financial markets functioning and analysis. Mathematical, statistical and computational methods-their role in investment finance. A review of major legal, accounting and organizational issues related to financial institutions.

3-7.Exchange and OTC markets. Analysis of financial markets for major classes of instruments: market participants, microstructure, major sources of supply and demand, their impact on volume dynamics. Stock markets. Fixed income markets. Forex. Major commodity markets. Derivative markets. Structure of derivative contracts. Margin deposits. Leverage and its influence on market dynamics.

8-9.Prices of financial instruments and their dynamics. Practical aspects of basic financial models. Investment return measures and their analysis and construction in practice. Measuring investment risk-real-life issues.

10-12.Institutional investors. Investment funds. Regulated and alternative funds. Sovereign funds. Fund fee, legal and organizational structures. Active and passive investment strategies. Major classes of active investment strategies, risk and returns of hedge funds.

13-15. Financial markets 2007-2018: major developments, mechanisms and transaction structures. Credit and mortgage derivatives. Operations, decisions and intervention mechanisms of major central banks.

Grabowski W. Financial markets-lecture notes.

International Monetary Fund, Global Financial Stability Report (selected issues, fragments and data).

ECB, Euro area accounts (selected data).

Federal Reserve, Financial Accounts of the United States (selected data).

Grabowski W., 2015. Wealth and leverage in the euro area and the United States. Are the recent crisis developments in both areas different? w: Strategie gospodarcze i społeczne Unii Europejskiej. WNE-NBP Conference 2015.

Upon the completion of the course the student:

-is familiar with microstructure, participants and major supply and demand operations in main classes of financial markets,

-is familiar with the major mechanisms behind financial market crises

-is familiar at an advanced level with the major classes of active investment strategies and the functioning of institutional investors in the financial markets

-is familiar with the details of crisis intervention mechanisms of major central banks

-is able to analyze at advanced practical level the return and risk of investment strategies

-is able to analyze interconnections between participants in financial markets

-understands the role of data in analyzing financial markets

-understands the role of computational details in the analysis and interpretation of financial market and investment data

KU05, KU06, KK01, KK03, KU04, KU03. KU02, KU01, KW03, KW02, KW01

Written test exam