Actualités et agenda
Nos formations
Établissement
Langue d'enseignement
English
Matières
FINANCE
Ce cours apparaît dans les formation(s) suivante(s)
Diplôme IÉSEG (Bac +5) Programme Grande École
- Crédits ECTS: 2.00
Responsable(s)
P.MAZZA
Intervenant(s)
P.MAZZA
Présentation
Prérequis
-Knowledge on how to use Bloomberg terminals
-Basic econometrics techniques (linear regressions)
-Some basic training with statistical software (EViews, SAS, or the like)
-Basic knowledge on financial markets theory (especialy the Capital Asset Pricing Model)
-Basic econometrics techniques (linear regressions)
-Some basic training with statistical software (EViews, SAS, or the like)
-Basic knowledge on financial markets theory (especialy the Capital Asset Pricing Model)
Objectifs
At the end of the course, the student should be able to :
-Test and assess an asset pricing model
-Build a stock trading strategy based on market regularities and anomalies
-Back-test a trading strategy and calculate the expected profits
-Test and assess an asset pricing model
-Build a stock trading strategy based on market regularities and anomalies
-Back-test a trading strategy and calculate the expected profits
Présentation
1) Review of asset pricing models (CAPM, multifactor models)
2) Market efficiency, market regularities and anomalies
3) How to build a trading strategy?
2) Market efficiency, market regularities and anomalies
3) How to build a trading strategy?
Modalités
Organisation
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours magistral | 16,00 | ||
| Travail personnel | |||
| Group Project | 18,00 | ||
| Charge de travail personnel indicative | 6,00 | ||
| Autoformation | |||
| Recherche | 5,00 | ||
| Lecture du manuel de référence | 5,00 | ||
| Overall student workload | 50,00 | ||
Évaluation
Presentations and final project
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Autres | |||
| Projet Collectif | 0,00 | 1 | 50,00 |
| exposé | |||
| exposé | 0,00 | 1 | 50,00 |
| TOTAL | 100,00 | ||
Ressources
Bibliographie
John H. Cochrane, Asset Pricing (http://press.princeton.edu/titles/7836.html) -
Ressources Internet