Modelling of Financial Markets 2400-M2FiRMRF

.1.Introduction - basic concepts in quantitative finance
2-3. Efficiency of financial markets: the concept and its empirical testing
4-5. Are returns forecastable? Random walk as a model and its empirical verification.
6-7. Model definition of normal and excessive returns: CAPM and its extensions, APT. Empirical examples.
8. Volatility modelling: ARCH and GARCH models
9. Term structure of the interest rates (yield curve)
10.FX market: exchange rate theories and their tests.
11-15. Students' presentation of their assignments.

Type of course

obligatory courses

Prerequisites (description)

(in Polish) Wymagania wstępne Finanse, Ekonometria, Analiza szeregów czasowych Wymagania formalne Finanse: Analiza i wycena akcji i obligacji, teorie portfelowe i modele rynku kapitałowego (model Sharpe’a, model CAPM, teoria arbitrażu cenowego APT), struktura terminowa stóp procentowych (krzywa rentowności); Ekonometria: MNW, modele panelowe (model z efektami stałymi, model z efektami zmiennymi, test Hausmana); Założenia wstępne Finanse, Ekonometria

Course coordinators

Ryszard Kokoszczyński

Learning outcomes

Students are able to model and to forecast prices and returns of basic financial assets (equity, debt instruments, fx) in a comprehensive manner, including designing the research, building and estimating the propoer model, interpreting its results and reporting the outcome of the whole exercise.
KW01, KW02, KW03, KW04, KU01, KU02, KU03, KU04, KU05, KU06, KU07, KK01, KK02, KK03

Assessment criteria

tudents have to prepare individual work - an empirical study of prices or returns for some financial markets covered by the course, i.e. equity, debt or fx. Assessment of this work forms a major part of total assessment, which includes also a quality of students' presentation of her/his work in the class

Bibliography

Required:
Cuthbertson, Nitzsche, 2004, Quantitative Financial Economics, Wiley
Brooks, 2005, Introductory Econometrics for Finance, Cambridge
Suggested:
Campbell, Lo, MacKinlay, 1997, The Econometrics of Financial Markets, Princeton
Gourieroux, Jasiak, 2001, Financial Econometrics, Princeton

Additional information

Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:

Finance, Investments and Accounting, full time, second cycle

Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system:

Description of 2400-M2FiRMRF in USOSweb