Courses & Units
Applied Quantitative Finance BEA653
Introduction
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 unit 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.
Summary
| Unit name | Applied Quantitative Finance |
|---|---|
| Unit code | BEA653 |
| Credit points | 12.5 |
| College/School | College of Business & Economics Tasmanian School of Business and Economics |
| Discipline | Finance |
| Coordinator | Mr Vladimir Volkov |
| Delivered By | University of Tasmania |
| Level | Postgraduate |
Availability
| Location | Study period | Attendance options | Available to | ||
|---|---|---|---|---|---|
| Hobart | Semester 2 | On-Campus | Off-Campus | International International | Domestic Domestic |
Key
- On-campus
- Off-Campus
- International students
- Domestic students
Key Dates
| Study Period | Start date | Census date | WW date | End date |
|---|---|---|---|---|
| Semester 2 | 11/7/2022 | 9/8/2022 | 29/8/2022 | 16/10/2022 |
* The Final WW Date is the final date from which you can withdraw from the unit without academic penalty, however you will still incur a financial liability (refer to How do I withdraw from a unit? for more information).
Unit census dates currently displaying for 2022 are indicative and subject to change. Finalised census dates for 2022 will be available from the 1st October 2021. Note census date cutoff is 11.59pm AEST (AEDT during October to March).
Learning Outcomes
- 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.
Fee Information
| Field of Education | Commencing Student Contribution 1,3 | Grandfathered Student Contribution 1,3 | Approved Pathway Course Student Contribution 2,3 | Domestic Full Fee 4 |
|---|---|---|---|---|
| 010103 | $498.00 | $498.00 | not applicable | $2,702.00 |
1 Please refer to more information on student contribution amounts.
2 Please refer to more information on eligibility and Approved Pathway courses.
3 Please refer to more information on eligibility for HECS-HELP.
4 Please refer to more information on eligibility for FEE-HELP.
If you have any questions in relation to the fees, please contact UConnect or more information is available on StudyAssist.
Please note: international students should refer to What is an indicative Fee? to get an indicative course cost.
Requisites
Prerequisites
(BEA681 - Data and Business Decision Making OR BEA654 - Data and Business Decision Making OR BEA674 - Data and Business Decision Making)Teaching
| Assessment | Test or quiz (30%)|Test or quiz (20%)|Examination - invigilated (centrally) (50%) |
|---|---|
| Timetable | View the lecture timetable | View the full unit timetable |
Textbooks
| Required |
You will need the following text: Brooks, C. (2014). Introductory Econometrics for Finance. Cambridge: Cambridge University Press. 3rd edn. Software: Eviews 8 or newer version. |
|---|---|
| Recommended | Martin, V. and Hurn, A., and Harris, D. (2012). Econometric modelling with time series: specification, estimation and testing. Cambridge: Cambridge University Press. Franses, P. H. & D.V. Dijk (2000), Nonlinear Time Series Models in Empirical Finance. Cambridge, Cambridge University Press. | Links | Booktopia textbook finder |
The University reserves the right to amend or remove courses and unit availabilities, as appropriate.