Quantitative Analysis of Finance II (ECON90010)
Graduate courseworkPoints: 12.5On Campus (Parkville)
Overview
| Availability | Semester 1 |
|---|---|
| Fees | Look up fees |
The subject will focus on estimating and testing nonlinear models in finance including volatility models, artificial neural networks, factor models of contagion and discrete models of financial behaviour. Special attention will be given to estimating and testing dynamic latent factor models using Principal Components and Kalman filters, modelling risk neutral dynamics in option markets, and fat-tailed behaviour in asset returns using extreme value theory and copulas. Estimation and testing methods are based on maximum likelihood methods. The R, RStudio and Excel computer programs will be used throughout the course. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.
Intended learning outcomes
On successful completion of this subject students should be able to:
- Identify and apply recent advances in quantitative methods to solve a range of problems in finance.
- Describe how quantitative procedures can be applied in financial decision making.
- Demonstrate a sophisticated understanding of quantitative methods by reproducing existing results. This will involve using both mathematical and computer skills. The computer programs used are R, RStudio and Excel.
- Develop alternative frameworks for exploring new ideas in building alternative financial models.
- Evaluate the strengths and importance of research in applied finance and the implications of research for solving financial problems.
- Complete a written research report.
Generic skills
On successful completion of this subject, students should have improved the following generic skills:
- Evaluation of ideas, views and evidence;
- Synthesis of ideas, views and evidence;
- Strategic thinking;
- Critical thinking;
- Application of theory to economic policy and business decision making;
- Summary and interpretation of information;
- Statistical reasoning;
- Problem solving skills;
- Written communication; and
- Oral communication.
Last updated: 8 November 2024
Eligibility and requirements
Prerequisites
One of
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ECON90033 | Quantitative Analysis of Finance I |
Semester 1 (On Campus - Parkville)
Semester 2 (On Campus - Parkville)
|
12.5 |
| ECOM90011 | Financial Econometrics | Not available in 2025 |
12.5 |
OR
Equivalent
Corequisites
None
Non-allowed subjects
None
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 8 November 2024
Assessment
| Description | Timing | Percentage |
|---|---|---|
Assignment 1
| Week 4 | 20% |
Assignment 2
| Week 7 | 20% |
Tutorial attendance and participation | Throughout the teaching period | 10% |
Research Project
| From Week 9 to Week 12 | 50% |
Additional details
The final version of the Research Project is due in Week 12. The Research Report is not to exceed 3,000 words. An electronic copy of the completed Research Report is required to be submitted. A copy of all data used and any relevant work-files containing transformed data will also be required to be submitted at the same time.
Last updated: 8 November 2024
Dates & times
- Semester 1
Principal coordinator Laszlo Konya Mode of delivery On Campus (Parkville) Contact hours Three hours per week of lectures and tutorials. Total time commitment 170 hours Pre teaching requirements 170 hours Teaching period 3 March 2025 to 1 June 2025 Last self-enrol date 14 March 2025 Census date 31 March 2025 Last date to withdraw without fail 9 May 2025 Assessment period ends 27 June 2025 Semester 1 contact information
Laszlo Konya: l.konya@unimelb.edu.au
Time commitment details
Estimated total time commitment of 170 hours per semester
What do these dates mean
Visit this webpage to find out about these key dates, including how they impact on:
- Your tuition fees, academic transcript and statements.
- And for Commonwealth Supported students, your:
- Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.
Last updated: 8 November 2024
Further information
- Texts
- Subject notes
- Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
- Available to Study Abroad and/or Study Exchange Students
Last updated: 8 November 2024