NDAK17001U Data-Driven Financial Models (DatFin)
The course gives the student a thorough introduction to financial theory, financial markets and products. Besides theory, students will be introduced to practical problems faced by Financial Engineers through a number of real world case studies. The course will prepare the student to take other advanced courses within finance. The students who are interested in using big data in financial markets should consider taking this course.
We will cover some of the following subjects in class:
- Introduction to finance and Matlab
- Delineating Efficient Portfolio and calculate the Efficient Frontier
- The Capital Asset Pricing Model (CAPM)
- Interest rate theory, bonds and management of bond portfolios
- Empirical tests of the CAPM
- Evaluation of portfolio performance
- Financial securities and financial markets
- Basic statistical properties of financial data
- Selected financial models. E.g. Single index model (Sharpe's model), Black-Litterman model, CAPM
- The ideas behind diversification and modern portfolio theory
- Basic evaluation of financial portfolios and money managers
- The basic theory of fixed income markets
- Using Matlab to analyze financial data
- Modeling, implementing, and evaluating basic trading strategies for risk management
- Applying mean variance portfolio theory
- Developing basic financial portfolios using quantitative analysis
- Performing quantitative evaluation of risk-return trade-offs
- Testing new trading strategies
- Using quantitative skills in financial markets
Introduction to Matlab by MathWorks: https://www.mathworks.com/moler/intro.pdf
E. Elton, M. Gruber, S. Brown, W. Goetzmann, Modern Portfolio Theory and Investment Analysis, Wiley
- 7,5 ECTS
- Type of assessment
- Oral examination, 20 minutesOral examination without preparation primarily based on the group report.
- Exam registration requirements
The group project must be submitted by the due date in order to qualify for the exam. The group project is written in groups of 2-4 students.
- Only certain aids allowed
Students are allowed to bring their group project.
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners.
Re-exam same as ordinary exam.
In order to qualify for the re-examination the student must submit a revised group report no later than 2 weeks prior to the exam.
Criteria for exam assesment
See Learning Outcome.
- Project work
- Exam Preparation