ICM103-Quantitative Methods for Finance

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:7
Terms in which taught: Autumn term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2018/9

Module Convenor: Dr Andrew Urquhart

Email: a.j.urquhart@icmacentre.ac.uk

Type of module:

Summary module description:

Aims:
The objective of the module is to give students an introduction to econometrics so that they might understand the analytical techniques used in the finance research literature. Via case studies and computer modelling exercises, students then learn how to apply these techniques to real data. Emphasis is placed on practical applications of the techniques in the global financial markets.

Assessable learning outcomes:
By the end of the module, it is expected that the student will be able to
•Explain the fundamentals of the statistical theory underlying the tools employed to estimate and test econometric models
•formulate and validate econometric models testing financial theories and hypotheses
•interpret and analyse the results from an estimated econometric model
•comprehend and critically evaluate the use of econometrics in the published academic finance literature




Additional outcomes:

The module also aims to encourage the development of IT skills and in particular the manipulation of data using statistical software packages. Students will also improve their ability to translate abstract theoretical concepts into practical solutions to financial problems.


Outline content:
Topic 1Simple linear regression
Topic 2Hypothesis testing
Topic 3Multiple regression: the Classical Linear Regression Model (CLRM)
Topic 4Violations of the CLRM assumptions and diagnosis
Topic 5Non-stationarity and testing for unit roots
Topic 6Cointegration and error correction model
Topic 7Econometric case studies in finance



Brief description of teaching and learning methods:
Core lectures supported by lab based computer seminars and classroom based tutor led discussion.




Contact hours:
  Autumn
Lectures  
Workshops (optional)  
Seminars  
Other contact (eg study visits)  
   
Total hours  
   
Number of essays or assignments  
Other (eg major seminar paper)  

Summative Assessment Methods:
Method Percentage
Written exam 70
Project output other than dissertation 30

Summative assessment- Examinations:
2.5-hour closed-book examination

Summative assessment- Coursework and in-class tests:
The written exam will be multiple-choice based. It will be a two-hour closed book examination.

There will be a group project where students will estimate an econometric model and interpret it. The report should have a limit of 2,000 words. There shall be penalties for late submission in accordance with University policy.

Formative assessment methods:

Penalties for late submission:
Penalties for late submission on this module are in accordance with the University policy. Please refer to page 5 of the Postgraduate Guide to Assessment for further information: http://www.reading.ac.uk/internal/exams/student/exa-guidePG.aspx

Assessment requirements for a pass:
50% weighted average mark

Reassessment arrangements:
By examination only, as part of the overall examination arrangements for the MSc programme.

Additional Costs (specified where applicable):
1) Required text books:
2) Specialist equipment or materials:
3) Specialist clothing, footwear or headgear:
4) Printing and binding:
5) Computers and devices with a particular specification:
6) Travel, accommodation and subsistence:

Last updated: 28 January 2019

THE INFORMATION CONTAINED IN THIS MODULE DESCRIPTION DOES NOT FORM ANY PART OF A STUDENT'S CONTRACT.

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