Modelling and Forecasting Returns and Volatility on Capital Markets & Algorithmic Investment Strategies 2400-ENSM012B
In the course of this seminar the fundamental factors determining the process of capital markets returns fluctuation will be presented with special focus on equities, currencies, bonds, commodities and derivatives based on above mentioned. Moreover, we will focus on risk associated with all kinds of capital market investments. We will discuss the latest approaches to volatility modelling (realised volatility calculated on HF data), as the crucial risk measure on capital markets, which is incorporated in almost all risk management models, capital asset pricing models, option valuation models, etc.
The main theoretical concepts discussed in the course of this seminar are:
1. Modelling and forecasting of the financial markets
2. Volatility time series modelling
3. Volatility estimators calculated on the basis of HF data
4. Volatility indexes based on HF option data, e.g. VIX introduced by CBOE. The methods of their creation and pricing of volatility derivatives
5. Capital asset pricing models and asset management
6. Fundamental and technical analysis; automatic investment strategies
7. Pricing and risk of financial instruments, especially derivatives; option valuation models with special focus on volatility modelling
8. Modelling and managing the risk of financial institutions
9. Efficient market hypothesis in the information sense
10. Anomalies of the capital market
11. Behavioural finance
The aim of this seminar is to present methods of financial instruments pricing (including derivatives), with special focus on the practical aspects. The wide range of modern investment strategies, implemented in the process of managing of financial assets, which are developed based on different motives of speculation, arbitrage or hedging, will be presented. Specific issues, discussed during seminar are based on real financial market cases, which will provide the participants with the knowledge on market turbulences and financial crisis which occur more frequently on the global financial markets.
Assessment:
Timely high mark preparation for the master thesis dissertation.
Rodzaj przedmiotu
Założenia (opisowo)
Koordynatorzy przedmiotu
Efekty kształcenia
Upon the course completion (lecture, discussions) a student:
- is able to analyze, model and forecast financial markets,
- is able to recognize the practical implications of theoretical theories in case of the specific financial problem,
- is able to provide an explanation for the use of specific tool and model in the process of pricing derivatives, designing investment strategies, risk management, etc.
The aim of this seminar is not only to help students in writing very good master thesis dissertation but presenting all the practical applications for financial theories and models used in the process of its preparing.
KW01, KW02, KW03, KU01, KU02, KU03, KK01, KK02, KK03
Kryteria oceniania
Conditions of participation:
1. Self-discipline, systematic work during the whole academic year, and willingness to invest a great deal of effort necessary to write a very good master thesis.
2. The knowledge of basic econometric techniques and financial theories and models enabling to plan and write the research verifying main research hypotheses.
The basic condition of passing graduate research seminar is to timely write very good master thesis dissertation. The assessment of each semester is based on providing the following parts of the dissertation before the end of each semester:
Winter Semester:
Analysis and presentation of at least two research papers of similar research area to the thesis subject.
Formulation of the main hypothesis and other research questions.
Formulation the subject and the detailed plan of the thesis (together with the description of each thesis parts).
Collecting and describing the empirical data used in verification of the research hypothesis.
Class presence is mandatory (maximum three non justified absences).
Spring Semester:
Analysis and presentation of at least one research paper of similar research area to the thesis subject.
Finishing empirical part of the thesis.
Discussion of results in the empirical part, the preparation of the theoretical part.
Preparation of the final version of the text and editorial corrections.
Class presence is mandatory (maximum three non justified absences).
It is advisable to pass all the courses focusing on tools, mathematical methods and introducing students to the theme of modeling and forecasting of financial markets what in results will help them to write very good master thesis dissertation, e.g: Econometrics, Finance I and II, Financial Markets, Time Series Analysis, Modeling Financial Markets.
Literatura
Books:
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Bernstein P.L., 2005, Capital Ideas, Wiley, New Jersey.
Brooks Ch., 2002, Introductory econometrics for Finance, Cambridge University Press, Cambridge.
Czekaj J., Woś M., Żarnowski J., 2001, Efektywność giełdowego rynku akcji w Polsce, Wydawnictwo Naukowe PWN, Warszawa.
Cuthberston K., Nitzsche D., 2004, Quantitative Financial Economics, Wiley, Chichester.
Elton J.E., Gruber M.J., 1998, Nowoczesna Teoria Portfelowa,WIG-Press, Warszawa.
Fabozzi F.J., 2000, Rynki obligacji. Analiza i strategie, WIG-Press, Warszawa.
Fabozzi F.J., 2004, Fixed Income Analysis, Wiley, New Jersey.
Gatheral J., 2006, The Volatility Surface, Wiley Finance, New Jersey.
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Haugen Robert A., 1999, Nowa nauka o finansach. Przeciw efektywności rynku, WIG-Press, Warszawa.
Hull J., Options, Futures and Other Derivatives, Prentice Hall, New Jersey 2006.
Jajuga K., 2000, Metody ekonometryczne i statystyczne w analizie rynku kapitałowego, Wydawnictwo Akademii Ekonomicznej we Wrocławiu, Wrocław.
Javaheri A., 2005, Inside Volatility Arbitrage, Wiley Finance, New Jersey.
Jorion P., 2007, Value at Risk 3rd edition, McGraw-Hill, New York.
Lo A.W., MacKinlay A.C., 1999, A Non-Random Walk Down Wall Street, Princeton, NJ, Princeton University Press.
Merton R.C., Continuous-Time Finance, Revised Edition, Oxford, UK: Basic Blackwell.
Murphy J.J., 1998, Międzyrynkowa analiza techniczna, WIG-Press, Warszawa.
Murphy J.J., 1999, Analiza techniczna rynków finansowych, WIG–Press, Warszawa.
Poon S., Granger C.W.J., 2003, Forecasting volatility in financial markets: A review, Journal of Economic Literature 41, 478-539.
Sharpe W.F., 1995, Investments, Prentice Hall International, London.
Szyszka A., 2003, Efektywność giełdy papierów wartościowych w Warszawie na tle rynków dojrzałych, Wydawnictwo Akademii Ekonomicznej, Poznań.
Tsay R.S., 2005, Analysis of Time Series, Wiley, New Jersey.
Wlimott P., Paul Wilmott On Quantitative Finance, 2nd Edition, John Wiley & Sons, Chichester 2006.
Papers:
Andersen T.G., Bollerlev T., 1998, Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts", International Economic Review, 39, No.4, 885-905.
Andersen T.G., Bollerslev T., Diebold F.X, Ebens H., 2001, The Distribution of Realized Stock Return Volatility, Journal of Financial Economics, 61, 43-76.
Bachelier L., 1900, Theorie de la Speculation, Gauthier-Villars, Paris, w: P. Cootner, The Random Character of Stock Market Prices, MIT Press, Cambridge, Mass., 17-78.
Bakshi, G., Cao, Ch., Chen, Z., 1997, Empirical Performance of Alternative Option Pricing Models, Journal of Finance, LII, 5, 2003-2049.
Bates, D.S., 2003, Empirical option pricing: a retrospection, Journal of Econometrics, 116, 387-404.
Black F., 1976, Studies of stock market volatility changes, Proceedings of the American Statistical Association, Business and Economic Statistics Section, 177-181.
Black, F., and Scholes, M., 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637-659.
Brock W., Lakonishok J., LeBaron B., 1992, Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, Journal of Finance 47(5), 1731-1764.
Campbell J.Y., Lo A.W., MacKinley A.C., The Econometrics of Financial Markets, Princeton University Press, New Jersey 1997.
Cowles A., 1933, Can Stock Market Forecasters Forecast?, Econometrica 1(3), 309-324.
Derman E., Demeterfi K, Kamal M., Zou J., 1999, More than you ever wanted to know about volatility swaps, Quantitative Strategies Research Notes, Goldman Sachs.
Fama E.F., 1998, Market Efficiency, Long-Term Returns and Behavioral Finance, Journal of Financial Economics 49, 283-306.
Gencay R., 1998, The predictability of security returns with simple technical trading rules, Journal of Empirical Finance 5, 347-359.
Giot P., Laurent S., 2004, Modelling daily Value-at-Risk using realized volatility and ARCH type models, Journal of Empirical Finance, vol. 11(3), 379-398.
Hull J., White A., 1987, The pricing of options on assets with stochastic volatilities, Journal of Finance 42, 281-300.
Malkiel B.G., 2003, The Efficient Market Hypothesis and Its Critics, CEPS Working Paper No. 91, Princeton University.
Martens M., Zein J., 2003, Prediciting Financial Volatility: High-Frequency Time Series Forecasts vis-à-vis Implied Volatility.
Merton R. C., 1973, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4, 141-183.
Mixon S., 2009, Option markets and implied volatility: Past versus present, Journal of Financial Economics 94, 171-191.
Yu W.W., Lui E.C.K., Wang J.W., 2010, The predictive power of the implied volatility of options traded OTC and on exchanges, Journal of Banking & Finance 34, 1-11.
Więcej informacji
Dodatkowe informacje (np. o kalendarzu rejestracji, prowadzących zajęcia, lokalizacji i terminach zajęć) mogą być dostępne w serwisie USOSweb: