Course details
Empirical Finance
MATH 60230A
This course is divided into four blocks. In the first two blocks, advanced methods in empirical finance are presented to students. The concepts covered include financial data analysis, visualization of financial data, as well as the numerical implementation of key concepts in finance (for example, the calculation of financial ratios, valuation of bonds, estimation of the yield curve and portfolio optimization) using actual financial data. The second block presents a review of fundamental concepts in statistical analysis and an introduction to statistical methods used in empirical finance. Students will learn how to apply these methods to financial data. The last block deals with advanced linear regression, panels, robust and clustered standard errors, and fixed effects. Emphasis is placed on the choice and appropriate use of methods for research in empirical finance.
Themes covered
- Financial databases available at HEC Montréal.
- The empiricist workflow: from idea to reproducible research.
- Fundamental concepts in programming: variables types flow control debugging documentation an overview of scientific libraries and their use to calculate financial ratios and manipulation of financial data.
- Data visualization: Features of a good graph and choice of graph for the representation of financial data.
- Advanced programming for finance research: profiling object-oriented programming with use for yield curve estimation and portfolio allocation by numerical optimization.
- Common probability distributions (PDF CDF and their inverses).
- Random numbers generation and the use of density functions for estimation and visualization.
- Property of estimators confidence intervals and hypothesis tests.
- P-values p-hacking and ethics in empirical financial research.
- Nonparametric statistics.
- Simulations and bootstrapping method for statistical inference.
- Simulations of parametric models in finance.
- Common uses of linear regression.
- Panel methods in finance.
- Robust and clustered standard errors pooling and fixed effects.
Important notes
Course in French : MATH 60230
Préalable(s): Être admis à la M. Sc. Finance. Cours mutuellement exclusif(s) : FINA 60203(A), MATH 60207(A) Vous ne pouvez pas vous inscrire à ce cours si vous avez réussi le cours FINA 60203(A) ou le cours MATH 60207(A).
Préalable(s): Être admis à la M. Sc. Finance. Cours mutuellement exclusif(s) : FINA 60203(A), MATH 60207(A) Vous ne pouvez pas vous inscrire à ce cours si vous avez réussi le cours FINA 60203(A) ou le cours MATH 60207(A).
Course code
MATH 60230A
Subject
Mathématiques
Program
Maîtrise en gestion (M. Sc.)
Location
Côte-des-Neiges
Instruction mode
On-site learning
Credits
3