Quantitative Financial Data Analysis in Matlab

Students are expected to have a good command of statistics, econometrics, and linear algebra inlcuding (matrix calculus).

The students are expected to be able to implement standard trading strategies and to independently perform empirical research in asset pricing. In this course, the U.S. equity market is explored as a showcase for pricing assets. By the end of this course students should be able to:

• Test linear asset pricing models (factor models)
• Implement zero-cost trading strategies
• Perform independent research of financial data
  The course will also support the development of students' competences in the following areas: - competence in analytical/mathematical thinking
• competence in data analysis (programming skills)
• creativity and innovation
• self-organisation
• time management

By the end of the course students will achieve the following intended learning outcomes:

• Students will demonstrate knowledge related to analysis of securities, testing statistical hypotheses and implementation of various econometric methodologies
• Students will apply critical thinking skills, problem solving skills and knowledge of matrix algebra and econometrics to solve different managerial and economic problems
• Students will demonstrate skills in data analytics while conducting a termpaper using empirical real life stock market data from U.S. S&P 500 index

How does the course relate to the UN’s sustainable development goals?
The course supports the UN Sustainable Development Goals quality education and decent work and economic growth.

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Master’s Degree students in Finance and Economics