Type of Credit: Elective
Credit(s)
Number of Students
The one-semester course aims to introduce undergraduate level students some well-established econometric and statistical techniques for financial data analysis with R, a free and popular software for scientific data analysis. We will start with a basic introduction of how to use R, including how to input, output and manipulate data, and how to use basic operations, functions and program statements, etc. We will then proceed to learn how to calculate individual asset's and portfolio's returns and various risk measures, estimate linear regression models, construct minimum variance portfolios and evaluate derivative prices.
The course will cover the following topics:
An introduction to R
Asset prices
Asset returns
Portfolio returns and risk measures
Minimum variance portfolios
CAPM, factor models and their applications %performance measures for portfolios
Linear regression models and an introduction to financial time series
Options and relevant quantities
能力項目說明
After learning the course, students are expected to know basic knowledge about econometrics and how to use R in financial analysis, which will be extremely useful for their future career in the industry or study related to finance.
| 周次 | 課程主題 | 課程內容與指定閱讀 | 教學活動與作業 | 學習投入時數 |
| 1 | Course Introduction | 課程投影片 | 簡介課程 | 1.5 |
| 2 | A basic introduction of how to use R | 課程投影片，R Documentation: An Introduction to R, Chapter 1 of Ang (2015) | R的基礎介紹操作 | 4 |
| 3 | A basic introduction of how to use R and calculate returns | 課程投影片，R Documentation: An Introduction to R, Chapters 2 and 3 of Ang (2015) | R的基礎介紹操作 | 4 |
| 4 | Calculate returns | 課程投影片, Chapters 2 and 3 of Ang (2015) |
資產價格及投資組合報酬率之計算 |
4 |
| 5 | Calculate risk measures and basic statistics | 課程投影片, Chapter 4 of Ang (2015) | 資產價格及投資組合報酬率之計算 | 4 |
| 6 | Calculate risk measures and basic statistics | 課程投影片, Chapters 4 of Ang (2015) | 風險指標及基礎統計量之計算 | 4 |
| 7 | Calculate risk measures and basic statistics | 課程投影片, Chapters 4 of Ang (2015) | 風險指標及基礎統計量之計算 | 4 |
| 8 | Minimum variance portfolios | 課程投影片, Chapters 6 and 7 of Ang (2015) | 最小變異數投資組合 | 4 |
| 9 | Midterm exam week | 無 | 無 | 無 |
| 10 | Minimum variance portfolios | 課程投影片, Chapters 6 and 7 of Ang (2015) | 最小變異數投資組合 | 4 |
| 11 | Minimum variance portfolios | 課程投影片, Chapters 6 and 7 of Ang (2015) | 最小變異數投資組合 | 4 |
| 12 | Linear regression models and their applications | 課程投影片, Chapter 5 of Ang (2015) and Chapter 10 of Perlin (2017) | 線性回歸模型及其應用介紹 | 4 |
| 13 | Linear regression models and their applications and an introduction to financial time series | 課程投影片, Chapter 5 of Ang (2015) and Chapter 10 of Perlin (2017) | 金融時間序列簡介 | 4 |
| 14 | An introduction to financial time series | 課程投影片, Chapters 5, 6 and 7 of Ang (2015) and Chapter 10 of Perlin (2017) | 金融時間序列簡介及最小變異數投資組合 | 4 |
| 15 | Evaluate derivative prices | 課程投影片, Chapters 9 of Ang (2015) | 衍生性金融商品價格評估 | 4 |
| 16 | Evaluate derivative prices | 課程投影片, Chapter 9 of Ang (2015) | 衍生性金融商品價格評估 | 4 |
| 17 | Evaluate derivative prices | 課程投影片 | 課程回顧 | 4 |
| 18 | Final Exam week | 無 | 無 | 無 |
exercises (35%), midterm exam (15%, take home) and final project
(50%, no group work)
1.R for financial data analysis and Econometrics:
Clifford S., Ang (2015): ''Analyzing Financial Data and Implementing Financial Models Using R'', Springer.
Perlin, Marcelo S. (2017): "Processing and Analyzing Financial Data with R", Independently published.
Florian Heiss (2016): "Using R for Introductory Econometrics", 1st Edition, CreateSpace Independent Publishing Platform.
2. Financial data analysis
Jianqing Fan and Qiwei Yao (2017): ''The Elements of Financial Econometrics'', 1st Edition, Cambridge University Press.
Ruey S. Tsay (2013): ''Multivariate Time Series Analysis: With R and Financial Applications'', 1st Edition, Wiley.
3. Financial Economics (portfolio theory and CAPM)
Back, K. (2009): "Asset Pricing and Portfolio Choice Theory", Oxford University Press.
Elton, J. et al., (2014): "Modern Portfolio Theory and Investment Analysis", 9th Edition, Wiley.
4. Econometrics (linear regressions)
Wooldridge, Jeffrey (2019) "Introductory Econometrics: A Modern Approach", 7th Edition, Cengage Learning.
Linton, Oliver, (2017): "Probability, Statistics and Econometrics", 1st Edition, Academic Press.