JEM061 - Quantitative Finance II
| Credit: | 6 |
|---|---|
| Credit ETCS: | 6 |
| Hours weekly: | 2/2 |
| Status: | Anglicky F,FT a B - povinně volitelný Magisterský - vše MEF - elective Semestr - letní |
| Obligatory courses: | JEM059 - Quantitative Finance I |
| Recommended courses: | JEM059 - Quantitative Finance I |
| Course supervisors: | PhDr. Jozef Baruník Ph.D., ČEZ Chair Mgr. Lukáš Vácha Ph.D. |
| Teachers: | PhDr. Jozef Baruník Ph.D., ČEZ Chair Mgr. Lukáš Vácha Ph.D. |
| Assistants: | |
| Schedule: | Každé pondělí IES, místnost č.601, začátek v 17:00 |
| Announcements: | |
| Literature: | Beran, J. (1994): Statistics for Long - Memory Processes. New York, Chapman and Hall. Calvet and Fisher (2008) Multifractal Volatility: Theory, Forecasting, and Pricing Academic Press ISBN 978-0121500139. Percival, D. B., Walden, A. T. (2000), Wavelet Methods for Time series Analysis. Cambridge University Press. Ramsey, J. B. (2002), Wavelets in economics and finance: Past and future. Studies in Nonlinear Dynamics & Econometrics, 3, 1. Samorodinsky, G. (2006) Long Range Dependence, In Foundations and Trends in Stochastic Systems, Vol. 1, No. 3 163–257 |
| Description: | Kurs na pokročilé úrovni rozebírá výkonnost finančních trhů a jejich predikovatelnost. Výklad je doprovázen analýzou případových studií. |
| Content: | Introduction (non-linear precesses, long memory, self-similarity) Long memory I, literature review, (reading: Samorodinsky 2006, ch, 1 and 2) Long memory II - ARFIMA, (examples of FIGARCH) Long memory estimators III - Applications to financial data Advanced volatility models in finance (reading: Calvet Fisher 2008) Spectral Analysis I Spectral Analysis II - Applications to financial data, Intro wavelets Wavelets in finance Market microstructure I Market microstructure II Market microstructure III |
| Seminar: | viz strankyJozef Baruník |
| Examination dates: | |
| Course requirements: | homeworks, exercises, midterm and final exam |
| Downloadable: | Syllabus 2010/2011 |