JEM059 - Quantitative Finance I
| Credit: | 6 |
|---|---|
| Credit ETCS: | 6 |
| Hours weekly: | 2/2 |
| Status: | English F,FM and B - elective Masters - all MEF - elective Semester - winter |
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| 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. |
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| Schedule: | Each Tuesday, room no.206, start 15:30 |
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| Literature: | Campbell, Lo and MacKinlay (CLM): The Econometrics of Financial Markets, Princeton, 1997. Tsay R.S.: Analysis of Financial Time Series, Wiley, 2002. Hamilton J.C. (HJ): Time Setries Analysis, Princeton, 1994 Evzen Kocenda, Alexander Cerny (2007) Elements of Time Series Econometrics. The Karolinum Press, UK Walter Enders (2004) .Applied Econometric Time Series, Second Edition Hommes CH (2006) Heterogeneous agent models in economics and finance. In: Tesfatsion L, Judd KL (eds) Handbook of computational economics, agent-based computational economics, vol 2. Elsevier Science BV, Amsterdam, pp 1109–1186 J. Baruník and L.Vácha (2007-2011): Lecture Notes |
| Description: | The objective of the course is to introduce advanced time series methods. Students will be able to use the modern financial econometric tools after passing this course and will be prepared to continue in the Quantitative Finance II course. Part of the course is also focused on the high frequency data econometrics. |
| Content: | 1. Introduction to Financial Time Series (Assets, Prices, Random Walk, Moving average Models 2. Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root 3. Linear Models of Financial Time Series - Moving Average Models, AR, ARMA, ARIMA. 4. Linear Models of Financial Time Series II - Moving Average Models, AR, ARMA, ARIMA. 5. Introduction to Nonlinearities in Financial Data I 6. Introduction to Nonlinearities in Financial Data II 7. High-frequency financial models - Microstructure noise 8. High-frequency financial models - Simulation of continuous-time processes 9. High-frequency financial models - Realized Measures 10. High-frequency financial models II - Realized Measures 11. High-frequency financial models - Forecasting |
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| Course requirements: | Final Exam: 40% Midterm Exam: 20% Homeworks: 40% All the Lectures are Available Online Here. |
| Downloadable: | Syllabus 2012/2013 |