Quantitative Methods in Finance - BFIP013

Quantitative Methods in Finance                                          BFIP013

Semester

Autumn

Level

11

Credit value

20

Module Co-ordinator

Dr. Maria Grydaki

Lecturers

Dr. Maria Grydaki / Dr Siobhan Lucey

Contact hours

24 lectures + 8 computing lab classes

Assessment

40% class test

60% examination (resit available)

Objectives

  • To provide students with the statistical and computing skills needed to understand the modern finance literature and to operate in a commercial finance environment.
  • To provide a basic understanding of statistical sampling, along with its usefulness and meaning.
  • To explain linear regression analysis as a business tool using the ordinary least squares method, covering both simple and multiple regressions.
  • To understand the properties of cross-section and time series data.
  • To help students develop and apply these analytic skills using appropriate software such as Stata.
  • To cover the learning outcomes the Chartered Financial Analyst (CFA) Institute Quantitative Methods syllabus at levels 1-3.

 

Learning outcomes

Knowledge and understanding of:

  • simple probability
  • statistical testing
  • the linear model
  • least squares estimation and its properties
  • the causes of failure in the linear model
  • the concepts of time-series analysis
  • the use of Stata to manipulate statistical data
  • the use of Stata to estimate linear models

 

Indicative reading list

1) Brooks, C. (2014), Introductory Econometrics for Finance, 3rd edition, Cambridge University Press.
2) Dougherty, C. (2016) Introduction to Econometrics, Fifth edition, Oxford University Press, Oxford. 

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