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Quantitative Analysis of Finance II (ECON90010)
Graduate courseworkPoints: 12.5On Campus (Parkville)
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable (login required)(opens in new window)
Contact information
Semester 1
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. A range of computer software 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 EViews, Matlab 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
- Orally present the results of an independent piece of research
- 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: 30 January 2024
Eligibility and requirements
Prerequisites
One of
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECON90033 | Quantitative Analysis of Finance I |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
ECOM90011 | Financial Econometrics | Semester 2 (On Campus - Parkville) |
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: 30 January 2024
Assessment
Description | Timing | Percentage |
---|---|---|
Test: MLE Estimation
| Week 3 | 10% |
Test: MLE Testing
| Week 4 | 10% |
Test: Financial Models
| Week 5 | 10% |
Research Project (including Oral Presentation)
| From Week 10 to Week 12 | 70% |
Additional details
Students are required to complete an oral presentation of their Research Project in Week 10. The final version of the Research Project is due in Week 12.
The Research Report is not to exceed 4,000 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: 30 January 2024
Dates & times
- Semester 1
Principal coordinator David Moreton Mode of delivery On Campus (Parkville) Contact hours Three hours per week of lectures and tutorials. Total time commitment 170 hours Teaching period 26 February 2024 to 26 May 2024 Last self-enrol date 8 March 2024 Census date 3 April 2024 Last date to withdraw without fail 3 May 2024 Assessment period ends 21 June 2024 Semester 1 contact information
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 30 January 2024
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Subject notes
This subject is only available to students enrolled in the second year of the Master of Finance.
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master of Finance - 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.
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
This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.
Last updated: 30 January 2024