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
In case of a pandemic like Corona the date, time and type of exam as well as use of aids may be changed. Any further information will be announced here in the Exam section.
3 hours lectures ones a week from week 6 to 20 (except holidays).
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-F21; [Name of course]”
-Select Report Type: “List – Weekdays”
-Select Period: “Forår/Spring – Week 5-30”
Press: “ View Timetable”
Please be aware:
- That it is the students´s own responsibility to continuously update themselves about their studies, their teaching, their schedule, their exams etc. through the study pages, the course description, the Digital Exam portal, Absalon, KUnet, myUCPH app, the curriculum etc.
The students receive oral collective feedback during the content of the lectures.
Each student receives written individual peer feedback on the mandatory assignments.
For 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. 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 must be complied and please be aware of the rules for co-written assignments.
• All parts must be answered in English and 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.
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
for the written exam.
- Exam period
The exam takes place:
From 28 May 2021 at 10 AM to 30 May at 10 AM
From 5 June 2021 at 10 AM to 7 June at 10 AM
In special cases, the exam can change to another day and time.
Further information about the exam will be available in Digital Exam from the middle of the semester.
The reexam takes place:
In week 35 and/or 36, August 2021
as a 20 minutes oral exam 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 oral exam as well as use of aids may be changed.
More info is available in Digital Exam early August.
Criteria for exam assesment
Students are assessed on the extent to which they master the learning outcome for the course.
To receive the top grade, 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.