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ECON474 Econometric Analysis of Financial Markets

Updated: 30 April 2010
Credit Points 6
Offering
Responsible Campus Teaching Period Mode of Study Online Level
Armidale Semester 2 Off Campus C - Internet access required
Armidale Semester 2 On Campus C - Internet access required
Intensive School(s) None
Supervised Exam There is a UNE Supervised Examination held at the end of the teaching period in which you are enrolled.
Pre-requisites QM161
Co-requisites None
Restrictions ECON374
Notes None
Combined Units ECON374 - Econometric Analysis of Financial Markets
Coordinator(s) Nam Hoang (nam.hoang@une.edu.au)
Unit Description

This unit will provide students who pursue careers in the finance industry with the statistical tools needed to track the performance and volatility of financial markets and instruments in equities, futures, options, bonds and currencies. It will also provide students with an understanding of models used to value financial assets. Students will deal with real market data and problems faced by fund managers and bond and currency dealers. They will use the capital asset pricing model, the arbitrage pricing model and derivative valuation models, as well as time series models for the analysis of market data.

Prescribed Material
Mandatory 		Text(s):

Note: Students are expected to purchase prescribed material

Introductory Econometrics for Finance
ISBN: 9780521694681
Brooks, C., Cambridge University Press 2nd ed. 2008
Text refers to: Semester 2 , On and Off Campus
Disclaimer Unit information may be subject to change prior to commencement of the teaching period.
Assessment
Title Exam Length Weight Mode No. Words
Assignment 1 10% On/Off Campus
Assessment Notes
Word length is not applicable owing to the statistical nature of the questions.
Relates to Learning Outcomes (LO) and Graduate Attributes (GA)
LO: 1-6 GA: 1,2,4,6
Assignment 2 10% On/Off Campus
Assessment Notes
Word length is not applicable owing to the statistical nature of the questions.
Relates to Learning Outcomes (LO) and Graduate Attributes (GA)
LO: 1-6 GA: 1,2,4,6
Project 20% On/Off Campus 3000
Relates to Learning Outcomes (LO) and Graduate Attributes (GA)
LO: 1-7 GA: 1,2,4,8
Unit Test 10% On Campus
Assessment Notes
Mid-term test
Relates to Learning Outcomes (LO) and Graduate Attributes (GA)
LO: 1-6 GA: 1,2,4,6
Final Examination 2 hrs 60% Off Campus
Final Examination 2 hrs 50% On Campus
Relates to Learning Outcomes (LO) and Graduate Attributes (GA)
LO: 1-6 GA: 1,2,4,6

Learning Outcomes (LO) Upon completion of this unit, students will be able to:
  1. understand the nature and characteristics of financial data;
  2. demonstrate an understanding of standard models used for valuation of capital assets, common stocks, bonds, options and futures;
  3. estimate and interpret measures of volatility in financial time series;
  4. demonstrate first-hand experience in assembling and analysing real-world high frequency financial data;
  5. demonstrate knowledge and awareness of the software available for statistical analysis of financial markets;
  6. present results in the form of a project report.

Graduate Attributes (GA)
Attribute Taught Assessed Practised
1 Knowledge of a Discipline
Address outcomes. 		True True True
2 Communication Skills
 True True True
3 Global Perspectives
Students' are taught factors affecting the nature and performance of financial data series. 		True True
4 Information Literacy
 True True True
5 Life-Long Learning
Demonstrate knowledge of concepts in the form of report writing. 		True True
6 Problem Solving
 True True True
7 Social Responsibility
Ethical issues in the use of models are emphasised in this unit. 		True True
8 Team Work
 True True
   

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