Undergraduate - UnitETF3300 - Quantitative methods for financial markets

This unit entry is for students who completed this unit in 2012 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

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6 points, SCA Band 0 (NATIONAL PRIORITY), 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered, or view unit timetables.

Level	Undergraduate
Faculty	Faculty of Business and Economics
Offered	Caulfield Second semester 2012 (Day)
Coordinator(s)	Dr Roland Shami

Synopsis

This unit 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 unit 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.

Outcomes

The learning goals associated with this unit are to:

assess the time series and distributional properties of financial data
evaluate the risk return relationship of financial assets
estimate the long run relationship among financial time series
analyse and model the volatility of financial returns
conduct the risk management analysis.

Assessment

Within semester assessment: 50%
Examination (2 hours): 50%

Chief examiner(s)

Roland Shami

Contact hours

3 hours per week

Prerequisites

ETF2100 or ETX2111 or ETX2121 or equivalent.

Prohibitions

ETC3460, ETC4346