Learning outcomes

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.

 

Goals

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

 

Content

  1. Introduction to financial data

  2. Efficient market hypothesis, Stylized facts & Factor Models

  3. Random Walk Hypothesis

  4. Volatility modelling: GARCH models

  5. Modelling long-run relationships in Finance

  6. Efficient market hypothesis and behavioral finance

  7. Introduction to Agent-based modeling in Finance

  8. Reading and conducting empirical research in Finance 

 

Assessment method

  • 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

Sources, references and any support material

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

 

Language of instruction

Français