Analysis of Financial Data, 7.5 Credits
About the course
This course is mainly intended as an elective course for students from the Master's programme in Accounting and Finance.
The aim of the course is to provide students with the necessary toolkit to analyse and extract information from financial data. Financial markets produce huge amounts of numerical information (data). This data must be analysed in order to extract the necessary information to guide investment decisions. Market models and statistical tools are essentials for this purpose and constitute the backbones of a rapidly evolving discipline, which is called alternatively "quantitative finance", "empirical finance", "financial econometrics", etc.
Key themes in the course are:
· predicting markets
· risk and volatility analysis
· value at risk for an asset, a portfolio
· high frequency data: transaction data, limit order books
· event study analysis
· analysis of accounting data
The lectures topics are presented through case studies, where real data is presented and analysed. These analyses give ground to discuss different market models and to illustrate how statistical techniques are used in practice. The lectures are complemented with labs where students perform their own analyses of financial data. Examination weights equally between these labs and a final exam.
Level of Education: Advanced
Department of Statistics