This course overviews topics in computational finance and financial econometrics (data sciences applied to finance). The emphasis of the course will be on making the transition from an economic model of asset return behavior to an econometric model using real data. This involves: (1) exploratory data analysis; (2) specification of models to explain the data; (3) estimation and evaluation of models; (4) testing the economic implications of the model; (5) forecasting from the model. The modeling process requires the use of economic theory, matrix algebra, optimization techniques, probability models, statistical analysis/econometrics, and statistical software (R).
- Enseignant: Béreau Sophie