Quantitative Finance and Financial Econometrics

Course content

1. 1Returns, compounding and data sourcesComing
2. 2Distributions of financial returnsComing
3. 3Regression and the market modelComing
4. 4Event studiesComing
5. 5Time series and autocorrelationComing
6. 6Volatility modelsComing
7. 7Value at risk and expected shortfallComing
8. 8Monte Carlo methods in financeComing
9. 9Portfolio optimization in codeComing
10. 10Backtesting and its pitfallsComing
11. 11Machine learning in financeComing
12. 12Capstone: an empirical finance studyComing

Requirements

• FIN-330 Portfolio Management
• STAT-141 Introductory Statistics

Recommended background. You can start any course at any time.

Description

Statistical and programming tools for finance: returns, regression, time series, volatility, simulation and testing trading ideas without fooling yourself.

Part of the Business stream, typically taken in year 4.