Hobart
This unit has been discontinued.
May be taken as an elective in other postgraduate courses only with permission of the Master of Finance course coordinator.
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 2020
| Unit name | Applied Quantitative Finance |
|---|---|
| Unit code | BEA653 |
| Credit points | 12.5 |
| Faculty/School | College of Business & Economics Tasmanian School of Business and Economics |
| Discipline | Economics and Finance |
| Coordinator | |
| Level | Postgraduate |
| Available as student elective? | No |
| Breadth Unit? | No |
Availability
Note
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TNE Program units special approval requirements.
* 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 (see withdrawal dates explained for more information).
Learning Outcomes
| LO1 | Define and explain the properties that characterise financial data and the techniques for analysing cross-sectional data. |
| LO2 | Analyse and model the short-run relationships in financial time series data. |
| LO3 | Analyse and model the long-run relationships among financial time series data |
| LO4 | Apply econometric modelling and interpret the results using financial data. |
Fees
Requisites
Prerequisites
- Quantitative skills: Financial mathematics and a familiarity with basic statistical techniques including standard deviation, coefficient of variation, covariance and linear regression.
- Computing skills: Computing skills and the ability to use the special functions in the commercial software to be used. You must become familiar with Eviews used in the unit as quickly as possible. The first two (2) weeks of the unit will be used to familiarise with the features of the Eviews and the financial datasets to be used.
- BEA681 and BEA654 or BEA674
Co-requisites
N/A
Mutual Exclusions
You cannot enrol in this unit as well as the following:
N/A
Teaching
| Teaching Pattern | Please check the unit outline for details. |
|---|---|
| Assessment | Online Mid Semester Test (20%), Workshop Submissions (30%), Final Exam (50%). |
| Timetable | View the lecture timetable | View the full unit timetable |
Textbooks
| Required | Please check the unit outline for details. |
|---|
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