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: 2019/0

Module Convenor: Prof Mike Clements

Email: m.p.clements@icmacentre.ac.uk

Type of module:

Summary module description:

This module equips you with the quantitative tools used by market participants. The module uses a mixture of (1) lectures where the theory and concepts are introduced and (2) seminars and workshops where we apply the knowledge to practical cases.


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 1 Simple linear regression

Topic 2 Hypothesis testing

Topic 3 Multiple regression: the Classical Linear Regression Model (CLRM)

Topic 4 Violations of the CLRM assumptions and diagnosis

Topic 5 Non-stationarity and testing for unit roots

Topic 6 Cointegration and error correction model

Topic 7 Econometric 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 Spring Summer
Lectures 20
Seminars 10
Guided independent study:      
    Wider reading (independent) 10
    Wider reading (directed) 10
    Exam revision/preparation 24
    Advance preparation for classes 20
    Preparation for tutorials 32
    Revision and preparation 24
    Essay preparation 40
    Reflection 10
       
Total hours by term 200 0 0
       
Total hours for module 200

Summative Assessment Methods:
Method Percentage
Written exam 70
Written assignment including essay 30

Summative assessment- Examinations:

2-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 2,500 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.



Re-sit examination to be taken in August/September.


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: 1 October 2019

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

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