AØKK08407U Advanced Empirical Finance: Topics and Data Science (F)
in Economics – elective course
The PhD Programme in Economics at the Department of Economics:
- The course is an elective course with research module. PhD students must contact the study administration AND the lecturer in order to register for the research module and write the research assignment.
- The course is a part of the admission requirements for the 5+3 PhD Programme. Please consult the 5+3 PhD admission requirements.
This course considers challenges in the empirical analysis of a range of topics in advanced finance. The course relates to the finance course on “Corporate Finance and Incentives”, the volatility modeling course “Financial Econometrics A” and to the financial econometrics content of “Advanced Macro and Financial Econometrics”.
The course puts a great amount of emphasis on the practical implementation of financial econometric methods. In terms of data, which is core to empirical finance, we discuss in detail how to obtain and use historical stock price and company information as well as high-frequency intra-day data and other types of “vast data” sets in relation to risk analysis and risk management. This includes an introduction to data science applications such as data visualization and optimization techniques, as well as practical handling of large datasets.
Further, the course material provides tools for communicating the empirical findings such as the creation of interactive figures, ready-to-publish tables and figures, and writing well-documented codes. We carry out the empirical analyses in a programming language such as “R”.
In terms of empirical finance topics, the course covers advanced areas, including:
- Estimation and testing of asset pricing factor models as well as their applications in factor investing strategies. This includes a discussion of recent econometric methods for evaluating, testing and implementing recent asset pricing models. In addition, the course treats commonly used machine-learning methods, e.g. Lasso and neural networks, with emphasis on their application in relation to factor selection. A focus area is the analysis of “vast data” and an introduction to key tools such as importing, cleaning, and summarizing large amounts of stock market data obtained (for instance) from the CRSP database for instance to construct portfolio sorts to identify factor risks.
- Analysis of high-frequency intra-day transaction and orderbook data for volatility forecasting for asset allocation and risk management. This includes the estimation of multivariate realized volatility measures based on intra-day data, estimation of selected continuous-time models, as well as a discussion of the statistical properties of the applied econometric methods. Moreover, this part treats important aspects of handling big data sets of high-frequency data, as well as data issues arising from market microstructure noise contamination.
- Examples of additional areas, or topics, include: (i) Market frictions, transaction costs, liquidity risk and (ii) incomplete markets.
After completing the course the student is expected to be able to:
- Account for the core steps of data science applications (e.g. data wrangling, visualization, modelling, communication)
- Define and describe stylized facts of financial asset returns
- Discuss and criticize multifactor asset pricing models
- Identify and account for portfolio sorts
- Master R scripts and writing functions
- Import, clean and analyze financial market data from different data sources
- Apply shrinkage methods such as Lasso to factor selection problems
- Evaluate the performance of estimated mean variance efficient portfolio weights
- Evaluate and implement the estimation of risk measures such as realized volatility based on high-frequency data
- Create efficient code to estimate multivariate realized volatility measures
- Debate and present the problems of microstructure-noise in high-frequency data
- Apply methods suitable for big-data problems such as parallel and cloud computing
- Create Shiny widgets and interactive reports with R
- Plan, perform and implement data-science applications from scratch
- Master and carry through relevant asset pricing models and solutions in new, unpredictable and complex contexts.
- R for Data Science: Import, Tidy, Transform, Visualize, and Model Data (Hadley Wickham and Garrett Grolemund; 2017; O’Reilly Media Inc.; ISBN: 1491910399)
- Empirical Asset Pricing: The Cross Section of Stock Returns (Turan Bali, Robert Engle, Scott Murray; 2016; Wiley & Sons; ISBN: 9781118095041
- Recent research papers provided via Absalon
It is recommended that Econometrics II is followed at least at the same time of "Advanced Empirical Finance: Topics and Data Science
Restrictions due to pandemic crisis:
The teaching in this course may be changed to be taught either fully or partly online due to a pandemic crisis like COVID-19. In case of changes and further information, please read the study messages in KUnet or the announcements in the course room on Absalon (for enrolled students).
2 hours lectures every week and 2x2 hours every second week from week 6 to 20.
2 hours of exercise classes every second week from 6 to 20.
The overall schema can be seen at KUnet:
MSc in Economics => "courses and teaching" => "Planning and overview" => "Your timetable"
KA i Økonomi => "Kurser og undervisning" => "Planlægning og overblik" => "Dit skema"
Timetable and venue:
To see the time and location of lectures please press the link under "Timetable"/"Se skema" at the right side of this page (F means Spring).
You can find the similar information in English at
-Select Department: “2200-Økonomisk Institut” (and wait for respond)
-Select Module:: “2200-F22; [Name of course]”
-Select Report Type: “List – Weekdays”
-Select Period: “Forår/Spring – Week 5-30”
Press: “ View Timetable”
Please be aware:
- The study administration allocates the students to the exercise classes according to the principles stated in the KUnet.
- If too many students have wished a specific class, students will be registered randomly at another class.
- It is not possible to change class after the second registration period has expired.
- If there is not enough registered students or available teachers, the exercise classes may be jointed.
- The student is not allowed to participate in an exercise class not registered.
- The teacher of the exercise class cannot correct assignments from other students than the registered students in the exercise class except with group work across the classes.
- All exercise classes will be taught in English.
- The schedule of the lectures and the exercise classes can be changed without the participants´ acceptance. If this happens you can see the new schedule in your personal timetable at KUnet, in the app myUCPH and through the links in the right side and the link above.
- It is the students´s own responsibility continuously throughout the study to stay informed about their study, their teaching, their schedule, their exams etc. through the curriculum of the study programme, the study pages at KUnet, student messages, the course description, the Digital Exam portal, Absalon, the personal schema at KUnet and myUCPH app etc.
The students receive oral collective feedback during the content of the lectures.
Each student receives written individual peer feedback on the mandatory assignments.
Foreign students and guests: Information about admission requirements, application, tuition fee, registration at Study Economics.
Please read the curriculum before enrolment.
Gæste- og enkelfagsstuderende: Tilmelding via Uddannelse i Økonomi.
- 7,5 ECTS
- Type of assessment
- Portfolio, 48 hoursThe exam is a written assignment consisting of two parts:
• Part 1: The first part is based on one of the mandatory assignments worked on during the course. The student can use the peer feedback received during the course to improve this assignment. This can be done before the exam period begins. The repeat assignment is chosen at random and reveals with the release of the exam.
• Part 2: The second part is a new assignment given in English
Please be aware that:
• The assignments can be written individually or by groups of maximum three students.
• The plagiarism rules and the rules for co-written assignments must be complied.
• All parts must be answered in English
• All parts must be uploaded to Digital Exam in one file.
- Exam registration requirements
To qualify for the exam the student must no later than the given deadlines during the course:
- Hand in a minimum of 2 out of 3 mandatory assignments.
- Provide useful written peer feedback based on specific criteria for a minimum of 2 out of the 3 mandatory assignments to two students from other groups.
Please be aware of:
- The lecturer controls the assignments and the feedback.
- The assignments can be written individually or by groups of maximum three students. The peer feedback must be written individually.
- The plagiarism rules must be complied and please be aware of the rules for co-written assignments.
- The assignments and the peer feedback must be written in English.
- The mandatory assignments and the peer feedback are part of a portfolio exam. See “Type of assessment”
- All aids allowed
for the written exam.
Information about allowed aids for the re-examination, please go to the section "Re-exam".
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
for the written exam.
An oral re-examination may be with external assessment.
- Exam period
The regular exam takes place:
From 11 June 2022 at 10 AM to 13 June at 10 AM
More information will be available in Digital Exam from the middle of the semester.
The Department can change the exam to another day and time than announced.
The reexam takes place:
In week 35 and/or 36
as a 20 minutes oral examination without preparation time.
No aids allowed during the examination.
The questions cover the entire curriculum and are based on the cases in the written assignments worked on during the semester.
In case of a pandemic crisis the re-sit might change to 20 minutes oral ONLINE exam with all aids, without preparation time.
Exact type, day, time and place is available in Digital Exam in August.
The Department can change to another type, day, time and place than announced.
Criteria for exam assesment
Students are assessed on the extent to which they master the learning outcome for the course.
In order to obtain the top grade “12”, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material and can make use of the knowledge, skills and competencies listed in the learning outcomes.
In order to obtain the passing grade “02”, the student must in a satisfactory way be able to demonstrate a minimal acceptable level of the knowledge, skills and competencies listed in the learning outcomes.
- Course code
- 7,5 ECTS
- Full Degree MasterPh.D.
- 1 semester
- Go to 'Signup' for
information about registration and enrollment.
- and venue:
- For teaching: Go to 'Remarks'.
- For exam and re-sits: Go to 'Exam'.
- Course is also available as continuing and professional education
- Study board
- Department of Economics, Study Council
- Department of Economics
- Faculty of Social Sciences
- Stefan Voigt (12-78796a6b6673337b746e6c79456a68747333707a336970)
See "Course Coordinators"
Teacher of the exercise classes:
Ex. class 1:
Please read "Remarks" regarding the schedule of the teaching.