MET AD685 – A4 – Quantitative Methods for Finance Syllabus – Fall 2022
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Syllabus – Fall 2022
MET AD685 – A4 – Quantitative Methods for Finance
Instructor: Leo Law, CFA
1. Course Overview
1.1 AD 685 Quantitative Methods for Finance
Finance is a highly competitive and dynamic industry that demands quantitative oriented professionals. Therefore, this course will equip students with the empirical techniques that are mostly used in the analysis of financial markets with strong focus in financial applications using actual data.
In particular, the emphasis will be on classical linear regression models, time series analysis, and limited dependent variable models applied to the following topics: predictability of asset returns; econometric tests of the CAPM and multifactor models; volatility modelling, etc.
1.2 Course Instructor
Name: Leo Law, CFA
Classroom Sessions: Tue 6 pm – 8:45 pm (CAS 324)
Contact: [email protected]
1.3 Course Developers
Original Course Developers: Ivan Julio, PhD.
1.4 Introduction
• The class will be held weekly on campus, so I strongly encourage your in-person participation and contribution during the classroom sessions. Class time also gives you opportunity to ask questions in real-time and get immediate feedbacks.
• There will be graded assignments and quizzes with applications in R throughout the course based on financial applications using real data, and the student will be required to work on these problems.
• A term paper will be assigned. This will consist in a comprehensive “Empirical Project”, and it will require from you to answer practical finance questions by means of econometric methods. By doing the case, you will integrate various econometric methods.
• The two exams will cover the readings, online material, lectures, and assigned problems. Real- world issues and applied problems will be the foundation of the course.
2. Prerequisites
2.1 Courses: Prerequisite: None
2.2 Mandatory: Students are required to complete successfully the non-credit preparatory laboratory:
• ADR100 Introduction to R for Business.
Important:
• Access to ADR100 is provided free of charge to every student enrolled in this class.
• Additionally, students must complete and pass ADR100 by Sunday, November 20, 2022.
3. Text, Software Applications & Materials
3.1 Required Text
James H. Stock and Mark W. Watson (2018). Introduction to Econometrics - 4rdEdition. Publisher:
Pearson.
• In the course, we will refer to the book as SW (Shortcut for Stock and Watson).
For this course, you must purchase access to MyEconLab, which is an online homework and tutorial resource that helps students to practice within an interactive multimedia environment.
To register and to purchase MyEconLab for this course you must do it through your local campus version of the Blackboard. Follow the simple steps below:
• Step 1: Go to Blackboard: https://learn.bu.edu/
• Step 2: Go to your course:
AD685 A4 Quantitative Methods for Finance (Fall 2022)
• Step 3: On the left menu go to the tab:
Pearson’s Assignment and follow the instructions to register
Purchasing access to MyEconLab through the course site includes an electronic version of the textbook and the MyLab assignments component. This option is the less expensive one.
• MyLab Economics with Pearson eText -- Instant Access -- for Introduction to Econometrics. ISBN- 13: 9780134543826
§ Includes: MyLab | Instant Access
• Note: If you prefer to have a hard copy of the textbook, feel free to acquire it but notice that most
likely you will have to buy the access to “MyEconLab” separately through the course site. This option will always be more expensive.
3.2 Software/Lab Sessions
The Statistical Package for this course is R and is freely available in: https://www.r-project.org/. It is a free software environment for statistical computing. In addition, I recommend using R
Studio as your IDE to follow the example demonstrated in class and complete the quizzes/homework assignments.
4. Course Overview and Details
4.1 Course Learning Goals and Objectives
This goal of this course is to provide students with a number of econometric techniques, which are mostly used in the analysis of financial markets based on asset pricing and corporate finance models. In particular, the emphasis will be on classical linear regression models, time series analysis, and limited dependent variable models applied to the following topics: predictability of asset returns; econometric tests of the CAPM and multifactor models.
4.2 Course Expectations
I expected you to read the assigned reading prior to the weekly lecture and participate in class actively. There will be graded assignments, quizzes and two exams throughout the course. These, along with the guided project, will make up the final composition of your grade.
All assignments will have a due date and will be accepted anytime up to that date but not after. There is no exception to this rule.
4.3 Course Grading Distribution
The final grade will comprise the weekly assignments, quizzes, and guided project and the two exams, weighted as follows:
Completion of ADR100 (by Sunday, November 20, 2022): |
5% |
Assignments/Quizzes: 12 Assignments (3%/assignment) |
36% |
Exam 1 |
20% |
Guided Project |
15% |
Exam 2 |
24% |
Please submit your assignment before the deadline to receive credit.
4.4 Grading Policy
The Academic Policy Committee of Metropolitan College recommends the following guidelines for distinguishing grades, and they will be curved.
A, A- 20%
B+, B, B- 80%
Study Guide (Tentative and is subject to change)
Week 1 |
|
Topics:
Readings:
Assignments: Assessments: |
Lecture 1: Introduction Lecture 2: Review of Probability Lecture 1 and 2 online class notes SW Chapters 1 and 2 Assignment 1 and 2. Due Sep 12, 11:59PM (ET) Quiz due date (TBA) |
Week 2 |
|
Topics: Readings:
Assignments: Assessments: |
Lecture 3: Review of Statistics Lecture 3 online class notes SW Chapters 3 Assignment 3. Due Sep 19, 11:59PM (ET) Quiz due date (TBA) |
Week 3 |
|
Topics:
Readings:
Assignments: Assessments: |
Lecture 4: Linear Regression with One Regressor Lecture 5: Regression with a Single Regressor Lecture 4 and 5 online class notes SW Chapters 4 and 5 Assignment 4 and 5. Due Sep 26, 11:59PM (ET) Quiz due date (TBA) |
Week 4 |
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Topics:
Readings:
Assignments: Assessments: |
Lecture 6: Linear Regression with Multiple Regressor Lecture 7: Hypothesis Tests and Confidence Intervals in Multiple Regression Lecture 6 and 7 online class notes SW Chapters 6 and 7 Assignment 6 and 7. Due Oct 3, 11:59PM (ET)
None |
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Week 5 |
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Topics: Practice Test and Review (non-graded) Readings: Assignments: Assessments: |
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Week 6 |
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Topics: Exam 1 – In Class Readings: Assignments: Assessments: |
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Week 7 |
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Topics: Readings: Assignments: Assessments: |
Other Topics: Panel Data SW Chapters 10 Assignment Chap 10. Due Oct 31, 11:59PM (ET) None |
Week 8 |
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Topics: Readings:
Assignments: Assessments: |
Lecture 10: Introduction to Time Series Regression and Forecasting – Part 1 Lecture 10 online class notes SW Chapters 15 Assignment 15 – Part 1. Due Nov 7, 11:59PM (ET) None |
Week 9 |
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Topics: Readings:
Assignments: Assessments: |
Lecture 10: Introduction to Time Series Regression and Forecasting – Part 2 Lecture 10 online class notes SW Chapters 15 Assignment 15 – Part 2. Due Nov 14, 11:59PM (ET) Quiz due date (TBA) |
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Week 10 |
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Topics: Readings:
Assignments: Assessments: |
Lecture 8: Nonlinear Regression Functions Lecture 8 online class notes SW Chapters 8 Assignment Chap 8. Due Nov 21, 11:59PM (ET) Quiz due date (TBA) |
Week 11 |
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Topics: Readings:
Assignments: Assessments: |
Lecture |
2022-12-13