BUS321 Empirical Analyses of Financial and Commodity Markets - Theory
Showing course contents for the educational year 2017 - 2018 .
Course responsible: Sjur Westgaard
Teachers: Olvar Bergland, Ole Gjølberg, Marie Gotteberg Steen
ECTS credits: 5
Faculty: School of Economics and Business
Teaching language: NO
Limits of class size:
Teaching exam periods:
This course starts in June block. This course has teaching/evaluation in June block.
Course frequency: Annually
First time: Study year 2007-2008
Last time: 2018H
Masters degree students in Business Administration.
This is a course within applied empirical analysis of finance- and commodity markets. With financial markets we mean stocks, currency, bonds, markets for volatility etc. With commodity markets we mean energy, metals, aggriculturals/fish, shipping and related markets. We will also emphasise describing and analysing fundamental factors (supply/demand) and how they influence prices, returns, volatility, and risk. Elements such as efficient markets, risk management and forecasting will be discussed. Topics dealt with in the course are data on futures and options markets (financial and commodity contracts) descriptive statistics, regression analysis, factor models, models of volatility and correlation, stationarity, co-integration and error correction models, quantile regression, models for discrete choice, regimeswitch models, evaluation of models, analysis of implied volatility, value at risk models, and stress testing and scenario analysis.
The candidate will after ending the course have acquired knowledge of:
- How to retrieve data from futures- and option markets as well as micro-variables from these markets (forward-curves. volume, open interest, composition of traders etc.)
- Interpretation of data from finance and commodity markets (stocks, fx, interest rates, and commodity markets)
- How to perform empirical / econometric analysis of finance and commodity markets (futures- and option markets)
The candidate will after ending the course be able to:
- Collect data from finance- and commodity markets and related marketinformation
- Analyze data, interpret market development and being able to describe properties of the data
- Perform empirical analysis of different markets
- Competence within microeconomics and finance (investments and risk management)
- Competence within statistical analysis of data
- Competence within data collection, excel and analysis of finance- and commodity markets
The course will consist of lectures and exercises using data and excel together in a computerlab. Students will after each lecture receive excel/data exercises and theoretical exercises and are expected to do these. These exercises are also a very adequate prepareation for the the exam. Oposite to core courses in statistics and econometrics (these should be taken in addition) we show how methods are used intuitively throgh extended usage of data (from quandl www.quandl.com) and Excel.
Excel and Quandl are used. References to Oxmetrics, Eviews og Stata will also be given. Canvas: All material (slides, spreadsheets, exercises/solutions, notes etc.) will be handed out here.
Brooks C., 2014, Introductory Econometrics for Finance, Cambridge University PressColin Carter, 2015, Futures and Options Markets - An Introduction, Rebel TextA set of articles handed out
Course within basic finance, statistics and econometrics and BUS323 Commodity Market Analysis.
BUS322, BUS323, ECN210/211 or equivalent.
None. However, is is expected that students participate in the cases/exercises during the lectures.
Written examination, 3.5 hours (counts 100 % of total grade).
Bachelor in Economics or Business administration.
Type of course:
Lectures and organized exercises appr.. 36+24=60 hours.
External examiner will control the quality of syllabus, questions for the final examination, and principles for the assessment of the examination answers.
Allowed examination aids: B2 Calculator handed out, other aids as specified
Examination details: One written exam: A - E / Ikke bestått