Actualités et agenda
Nos formations
Établissement
Matières
FINANCE
Responsable(s)
A.GIRARD
Intervenant(s)
J.LEFEBVRE
Présentation
Prérequis
Students should have studied elementary probability and statistics concepts (expectation and variance of a random variable; the main distributions, statistical concepts such as correlation, standard deviation, etc.)
Objectifs
At the end of the course, the student should be able to:
- Conduct an empirical financial analysis: specifying, estimating and interpreting (statistically and economically) the output of a regression model (AACSB Learning Goal).
- Take into account specificities of times series data (especially non-stationarity and autocorrelation) in an empirical financial analysis.
- Use the Thomson Reuters Eikon terminal to find appropriate data and retrieve historical records in Excel
- Conduct an empirical financial analysis: specifying, estimating and interpreting (statistically and economically) the output of a regression model (AACSB Learning Goal).
- Take into account specificities of times series data (especially non-stationarity and autocorrelation) in an empirical financial analysis.
- Use the Thomson Reuters Eikon terminal to find appropriate data and retrieve historical records in Excel
Présentation
The following topics will be studied on the basis of applications and case studies:
-Hypothesis testing
-Simple linear regression
-Multiple linear regression: assumptions and their violations, dummy variable, model specification
-Times series analysis: trend models, time series dependence models, random walks and unit roots, seasonality.
-Hypothesis testing
-Simple linear regression
-Multiple linear regression: assumptions and their violations, dummy variable, model specification
-Times series analysis: trend models, time series dependence models, random walks and unit roots, seasonality.
Modalités
Organisation
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours magistral | 24,00 | ||
| Autoformation | |||
| Lecture du manuel de référence | 10,00 | ||
| Travail personnel | |||
| Charge de travail personnel indicative | 41,00 | ||
| Overall student workload | 75,00 | ||
Évaluation
The assessment is The evaluation of the course will be based on homework to do at home (solving exercises), case studies done in teams using a computer, a final exam and taking the Thomson Reuters Eikon certification exam.
Ressources
Bibliographie
Quantitative Investment Analysis, 2nd edition, by Defusco, McLeavey, Pinto and Runkle -