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Modelling of Financial Markets

General data

Course ID: 2400-M2FiRMRF Erasmus code / ISCED: 14.3 / (0311) Economics
Course title: Modelling of Financial Markets Name in Polish: Modelowanie rynków finansowych
Department: Faculty of Economic Sciences
Course groups: (in Polish) Przedmioty obowiązkowe dla II r. studiów magisterskich drugiego stopnia - FIiR
ECTS credit allocation (and other scores): 5.00
view allocation of credits
Language: Polish
Type of course:

obligatory courses

Prerequisites (description):

(in Polish) Wymagania wstępne

Finanse, Ekonometria, Analiza szeregów czasowych

Wymagania formalne

Finanse: Analiza i wycena akcji i obligacji, teorie portfelowe i modele rynku kapitałowego (model Sharpe’a, model CAPM, teoria arbitrażu cenowego APT), struktura terminowa stóp procentowych (krzywa rentowności);

Ekonometria: MNW, modele panelowe (model z efektami stałymi, model z efektami zmiennymi, test Hausmana);

Założenia wstępne

Finanse, Ekonometria


Short description:

Students should get a basic knowledge and practical skills of formal econometric analysis of major financial markets (equity, fx, fixed income). The course presents basic theoretical framework and samples of empirical work modelling prices and/or returns from major financial instruments. Both active attendance and positive assessment of individual students' assignments are required to pass the course.

Full description:

.1.Introduction - basic concepts in quantitative finance

2-3. Efficiency of financial markets: the concept and its empirical testing

4-5. Are returns forecastable? Random walk as a model and its empirical verification.

6-7. Model definition of normal and excessive returns: CAPM and its extensions, APT. Empirical examples.

8. Volatility modelling: ARCH and GARCH models

9. Term structure of the interest rates (yield curve)

10.FX market: exchange rate theories and their tests.

11-15. Students' presentation of their assignments.

Bibliography:

Required:

Cuthbertson, Nitzsche, 2004, Quantitative Financial Economics, Wiley

Brooks, 2005, Introductory Econometrics for Finance, Cambridge

Suggested:

Campbell, Lo, MacKinlay, 1997, The Econometrics of Financial Markets, Princeton

Gourieroux, Jasiak, 2001, Financial Econometrics, Princeton

Learning outcomes:

Students are able to model and to forecast prices and returns of basic financial assets (equity, debt instruments, fx) in a comprehensive manner, including designing the research, building and estimating the propoer model, interpreting its results and reporting the outcome of the whole exercise.

KW01, KW02, KW03, KW04, KU01, KU02, KU03, KU04, KU05, KU06, KU07, KK01, KK02, KK03

Assessment methods and assessment criteria:

tudents have to prepare individual work - an empirical study of prices or returns for some financial markets covered by the course, i.e. equity, debt or fx. Assessment of this work forms a major part of total assessment, which includes also a quality of students' presentation of her/his work in the class

Classes in period "Winter semester 2020/21" (in progress)

Time span: 2020-10-01 - 2021-01-31
Choosen plan division:


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Type of class: Seminar, 30 hours more information
Coordinators: Ryszard Kokoszczyński
Group instructors: Ryszard Kokoszczyński
Students list: (inaccessible to you)
Examination: Course - Grading
Seminar - Grading
Mode:

(in Polish) zdalnie

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Copyright by University of Warsaw.