With this course, students will have a thorough knowledge of the charactericts of financial markets. At the same time, they'll obtain the tools to understand and perform empirical reasearch in Finance.
Main objectives of the course:
Understand the process of price formation in financial markets
Empirical modelling of financial data
Financial econometrics
Applying methods of asset management
Introduction to financial data
Efficient market hypothesis, Stylized facts & Factor Models
Random Walk Hypothesis
Volatility modelling: GARCH models
Modelling long-run relationships in Finance
Efficient market hypothesis and behavioral finance
Introduction to Agent-based modeling in Finance
Reading and conducting empirical research in Finance
Written exam (60 %)
Closed-book, 2 hours
Theoretical concepts + interpretation of real life data/problems
Group assignment (40 %)
Case study on empirical aspects presented in the course
Performing empirical analyses on R
Critically analyse results
Written report
Brooks, C. (2019). Introductory Econometrics for Finance. Fourth Edition. Cambridge University Press
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997). The Econometrics of Financial markets. Princeton University Press.
Mishkin, F. S. & Serletis, A. (2011). The Economics of Money, Banking, and Financial Markets. Fourth Canadian Edition. Pearson Canada Education.
Taylor, S. (2005). Asset Price dynamics, Volatility and Prediction. Princeton: Princeton University Press