Quantitative Finance I - JEM059

• Title: Quantitative Finance I
• Guaranteed by: Institute of Economic Studies (23-IES)
• Faculty: Faculty of Social Sciences
• Actual: from 2014 to 2016
• Semester: winter
• E-Credits: 6
• Examination process: winter s.:
• Hours per week, examination: winter s.:2/2, Ex [HT]
• Capacity: 59 / 40 (60)
• Min. number of students: unlimited
• 4EU+: no
• Virtual mobility / capacity: no
• State of the course: taught
• Language: English
• Teaching methods: full-time
• Teaching methods: full-time
• Note: course can be enrolled in outside the study plan; enabled for web enrollment; priority enrollment if the course is part of the study plan
• Guarantor: Mgr. Lukáš Vácha, Ph.D.; doc. PhDr. Jozef Baruník, Ph.D.
• Teacher(s): doc. PhDr. Jozef Baruník, Ph.D.; Mgr. Lukáš Vácha, Ph.D.
• Class: Courses for incoming students

Course completion requirements

English

Last update: doc. PhDr. Jozef Baruník, Ph.D. (11.02.2022)

There will be bi-weekly home assignments based on the methods covered by the lectures. The seminars will be used to presnet the homeworks, discuss the problems, etc.

 

Final grade consists of three parts: 

Assignments: 0 - 35% 

Empirical Project: 0 - 25% 

Final Exam: 0 - 40%

Grading (A-F) - in line with the Dean's decree 17/2018.   

Literature

English

Last update: doc. PhDr. Jozef Baruník, Ph.D. (14.09.2020)

Walter Enders (2014): Applied Econometric Time Series, 4th edition, Wiley.

Peter J. Brockwell, Richard A. Davis (2016): Introduction to Time Series and Forecasting, Springer.

Klaus Neusser (2016): Time Series Econometrics, Springer.

George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinse (2015), Time Series Analysis: Forecasting and Control, 5th edition, Wiley.

Ruey S. Tsay (2010): Analysis of Financial Time Series, 3rd edition, Wiley.

Campbell, Lo and MacKinlay (1997): The Econometrics of Financial Markets, Princeton.

James D. Hamilton (1994): Time Series Analysis, Princeton.

J. Baruník and L.Vácha (2007-2019): Lecture Notes

Syllabus

English

Last update: doc. PhDr. Jozef Baruník, Ph.D. (14.09.2020)

1. Introduction to Financial Time Series (Assets, Prices, Random Walk, Moving average Models

2. Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root

3. Linear Models of Financial Time Series - Moving Average Models, AR, ARMA, ARIMA.

4. Linear Models of Financial Time Series II - Moving Average Models, AR, ARMA, ARIMA.

5. Introduction to Nonlinearities in Financial Data I

6. Introduction to Nonlinearities in Financial Data II: Modelling Volatility

7. Midterm

8. Long Memory in Volatility

9. High-frequency financial models - Microstructure noise

10. High-frequency financial models - Simulation of continuous-time processes

11. High-frequency financial models - Realized Measures

12. High-frequency financial models - Forecasting and Applications