In the Financial Econometrics track, you focus on the econometric techniques that have been developed for the analysis of financial markets. This track is 1 of 4 tracks you can opt for in our Master's in Econometrics.
In the Financial Econometrics track, you learn how to apply econometric techniques to support portfolio management or for example in the valuation of securities. Financial econometrics is all about applying statistical methods to financial market data. Areas of study include capital markets, financial institutions, corporate finance and corporate governance. Topics often revolve around asset valuation of individual stocks, bonds, derivatives, currencies and other financial instruments.
Apart from the 4 general courses of the full programme, you will follow 5 track-specific courses and electives.
In this course you learn the basic principles of asset pricing and risk mitigation on a market consistent basis. The underlying principle for this course is the notion that the market consistent value of an insurance or pension contract is based on the market value of the best possible replicating portfolio plus a possible add-on for the remaining (unhedgeable) residual risk. Therefore we provide you with an introduction to mathematical techniques which can be used in complete markets, such as those for equity and interest derivatives.
Choose 1 out of 2 electives:
Choose 1 out of 8 electives:
In this course you learn the elements of probability theory, stochastic processes and stochastic calculus relevant in the analysis of financial derivatives. You focus on the mathematical concepts and techniques and to a lesser extent on their application in pricing and hedging derivatives.
In this course you cover: linear time series analysis, volatility models, value at risk, VAR models and co-integration, multivariate volatility and correlation models, high-frequency data and realized variance. You will apply your knowledge to empirical data using Python and R.
Study and compare the performance of high-frequency trading (HFT) algorithms for trading Bitcoins on cryptocurrency exchanges. It is possible to develop profitable trading strategies on the Bitcoin market? Does the inclusion of social indicators, retrieved from sentiment analysis, lead to significantly better results?
Finance and econometrics are an excellent combination. The courses of this track have a good balance between theoretical framework and practical implementation. The relations between students and lecturers are good, making it easy to work together and ask the critical questions that are needed to make the most out of the programme.
|Degree programme||MSc Econometrics|
|Type||Regular study programme|
|Credits||60 ECTS, 12 months|
|Language of instruction||English|