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Syllabus:

Analysis of Financial Data, 7.5 Credits

Swedish name: Analys av finansiella data

This syllabus is valid: 2010-07-05 valid to 2011-07-03 (newer version of the syllabus exists)

Course code: 2ST017

Credit points: 7.5

Education level: Second cycle

Main Field of Study and progress level: Statistics: Second cycle, has only first-cycle course/s as entry requirements

Grading scale: Three-grade scale

Responsible department: Department of Statistics

Contents

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). For instance, all the transactions made daily at the Stockholm exchange are recorded. Other sources of information include accounting disclosures, macro-economic variables, etc. 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 “quantitative finance”, “empirical finance”, “financial econometrics”, etc. This course is called “Analysis of financial data” because the focus will be on the actual analysis of real financial data. Market models and statistical techniques are discussed to show how each specific data set can be analysed to obtain the desired information.

Expected learning outcomes

Upon successful completion of the course, the student should be able to: - explain fundamental concepts of statistical terminology related to financial data analysis, in particular to time series analysis - utilize SPSS (statistical software) to perform basic statistical analysis on financial data - interpret and comment SPSS outputs from their analysis

Required Knowledge

A 15-ECTS course in statistics, including regression analysis, or the equivalent is required. Moreover a 7.5-ECTS course in corporate finance or the equivalent is recommended. English course B at Swedish gymnasium or equivalent.

Form of instruction

In the lectures topics are introduced 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 modes

The completion of the labs gives ground for the examination. The labs are compulsory. Moreover, a final exam is given on the course. The ECTS Grading Scale is used: A (Excellent), B (Very good), C (Good), D (Satisfactory), E (Sufficient), F (Fail). Respective Swedish grades: VG (Pass with distinction), G (Pass), U (Fail). Further information can also be obtained from the student counsellor Crediting previous courses It can be tested whether a (part or a whole) previous course can be credited for. For more information about these rules please visit www.umu.se/studentcentrum/regler_riktlinjer/index.html (Note that the information is only available in Swedish).

Literature

Valid from: 2009 week 23

Ruppert David
Statistics and FInance: An Introduction
2004 :
ISBN: 0-387-20270-6
Search the University Library catalogue

Alexander Carol
Market models : a guide to financial data analysis
Chichester : Wiley : 2001 : xx, 494 s. :
ISBN: 0-471-89975-5
Search the University Library catalogue

The econometrics of financial markets
Campbell John Y., Lo Andrew W., MacKinlay Archie Craig
Princeton, N.J. : Princeton Univ. Press : 1997 : xviii, 611 s. :
ISBN: 0-691-04301-9 (inb.)
Search the University Library catalogue

Koop Gary
Analysis of financial data
Chichester : John Wiley & Sons : 2006 : 240 s. :
ISBN: 978-0-470-01321-2
Search the University Library catalogue