ETF3300

Quantitative methods for financial markets

(BUS)

Proposed to be offered next in 2002

Associate Professor Param Silvapulle and Mr George Woodward

6 points + Two 1-hour lectures and one 1-hour tutorial per week + Second semester + Caulfield + Prerequisites: ETX2111 or ETX2121 and AFF2631 + Prohibitions: ETC3460, ETC3464

Synopsis: This subject covers statistics and econometric tools to assess the time series properties and distributional properties of financial series, and teaches how to model and estimate risk return relationship of assets; estimate and test capital asset pricing models and anomalies; and use various statistical procedures to test the efficient market hypothesis. This subject also introduces the recent literature on modelling, estimating and forecasting financial markets' volatility. Parametric, nonparametric and simulation method will be used to estimate the value at risk. EVIEWS computer software will be used to carry out financial data analysis and applied research projects.

Assessment: Five minor projects: 50% + Final examination (2 hours): 50%