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Applied Quantitative Finance
Postgraduate | TAS-BEA653 | 2024
- Study method
- 100% online
- Assessments
- Subject may require attendance
- Entry requirements
- Part of a degree
- Duration
- 14 weeks
FEE-HELP available
Applied Quantitative Finance
About this subject
Upon completion of this subject, the student should be able to:
- Define and explain the properties that characterise financial data and the techniques for analysing cross-sectional data.
- Analyse and model the short-run relationships in financial time series data.
- Analyse and model the long-run relationships among financial time series data
- Apply econometric modelling and interpret the results using financial data.
- Week 1 - Introduction to financial econometrics-What is financial econometrics?
- Week 2 - Regression Models I-The assumptions underlying the classical linear regression model
- Week 3 - Regression Models II-Multiple linear regression
- Week 4 - Univariate Timeseries Models-Univariate time series modelling and forecasting
- Week 5 - Multivariate Models-Simultaneous equations in finance
- Week 6 - Cointegration Modelling-Stationarity and subject root testing
- Week 7 - Error Correction Modelling-Modelling cointegrated systems in finance
- Week 8 - Non-linear models-Motivations: an excursion into non-linearity land
- Week 9 - Univariate GARCH Models-Volatility modelling: examples
- Week 10 - Multivariate GARCH Models-Covariance modelling and forecasting in finance
- Week 11 - Switching Models-Markov switching: intuition
- Week 12 - Limited dependent variable models-Logit and Probit models
- Week 13-Course review
There are two main objectives in applied quantitative finance. First, is to understand how asset prices behave. Future asset prices are uncertain and, therefore, must be described by a probability distribution. This means that statistical and econometric methods can be applied to investigate price processes occurring over time. Usually one builds a model, which is a detailed description of how successive observations are determined. The second objective is to use our knowledge of asset pricing behaviour to reduce risk or make better decisions. The focus in this subject will be on practical applications rather than formal proofs of theorems, using computer based software (EViews) to investigate the different econometric techniques for estimation and inference.
- Workshops Submissions (30%)
- Mid- Semester Test (Online) (20%)
- Final Exam - Short questions and problems (50%)
For textbook details check your university's handbook, website or learning management system (LMS).
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Entry requirements
To enrol in this subject, you must be admitted into a degree.
Prior study
You must either have successfully completed the following subject(s) before starting this subject, or currently be enrolled in the following subject(s) in a prior study period; or enrol in the following subject(s) to study prior to this subject:
Please note that your enrolment in this subject is conditional on successful completion of these prerequisite subject(s). If you study the prerequisite subject(s) in the study period immediately prior to studying this subject, your result for the prerequisite subject(s) will not be finalised prior to the close of enrolment. In this situation, should you not complete your prerequisite subject(s) successfully you should not continue with your enrolment in this subject. If you are currently enrolled in the prerequisite subject(s) and believe you may not complete these all successfully, it is your responsibility to reschedule your study of this subject to give you time to re-attempt the prerequisite subject(s).
Additional requirements
No additional requirements
Study load
- 0.125 EFTSL
- This is in the range of 10 to 12 hours of study each week.
Equivalent full time study load (EFTSL) is one way to calculate your study load. One (1.0) EFTSL is equivalent to a full-time study load for one year.
Find out more information on Commonwealth Loans to understand what this means to your eligibility for financial support.