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Master
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Financial Econometrics (Econometrics)

The study programme

The study programme of the Financial Econometrics specialisation track centers on mathematical and statistical techniques and their application to financial models and time series. You will master econometric techniques from a financial perspective, using them to support portfolio management and value securities. Through practical application on financial data, you will interpret results from a financial standpoint, honing your expertise in the complex mathematics of the financial economy.

The programme

Financial Econometrics is one of the tracks of the MSc Econometrics. During your Master's you will follow 4 general courses and 5 track-specific courses and electives. You will finish with a thesis.  If you have excellent analytical and leadership abilities, and it is your goal to use applied research to tackle complex real-life problems, you can participate in our Honours programme. There is also an opportunity to pursue a Master’s degree in both Econometrics and Mathematics, if you opt for a Double Degree Master’s programmes

COURSES SEM 1 SEM 2 SEMESTER 1 SEMESTER 2 EC
  • Data Science Methods
    5

    In this course you will cover the basic theory of multivariate data analysis and of statistical methods in data science. You will focus on the most relevant multivariate techniques, as well as their application to econometric data in computer lab sessions. We will introduce you to Python, NumPy and pandas, data scraping, cleaning and wrangling.

  • Theory of Markets
    5

    In this course you will study the microeconomic theory of perfect and imperfect competition. Learn under what conditions markets perform well as a means to organise economic activity (and under what conditions they do not).

  • Advanced Econometrics 1
    5

    In this course you will gain a deep understanding of econometric theory, practice and inference. You will learn how to apply advanced econometric techniques in practice, extend available methods for particular applications and how to implement them in a matrix programming environment. Also you will learn to understand and derive their statistical properties.

  • Financial Mathematics for Insurance
    5

    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.

  • Advanced Econometrics 2
    5

    In this course you will build upon the general knowledge you acquired in Advanced Econometrics 1. You will gain a deep understanding of econometric theory, acquire the technical skills to conduct inference and be able to implement these techniques using software like MATLAB, R or Python.

  • Financial Econometrics
    5

    In this course, you learn about 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.

  • Stochastic Calculus
    5

    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.

  • Restricted-choice electives
    5

    Choose 1 out of 2 electives.

  • Restricted-choice electives
    5

    Choose 1 out of 7 electives.

  • Master's Thesis
    15

    The academic programme culminates in a thesis, which allows you to engage with state-of-the-art data analysis and statistical techniques. The Master’s thesis is the final requirement for your graduation. It is your chance to dive deep into a topic in your field of choice (track) that you are enthusiastic about, and allows you to do an independent research project. A professor of your track will supervise and support you in writing your thesis.

Compulsory course
Elective
Specialisation
Send me the course schedule + programme summary Check more detailed information about the specific courses in the course catalogue

Honours programme

If you are a student of the Master's Econometrics and you have a record of academic excellence, a critical mind and an enthusiasm for applied research, then our Econometrics Honours programme is a great opportunity for you.

More about the Honours programme

Double Degree Master's programme

If you want to pursue a Master’s degree in Econometrics as well as in Mathematics, you can opt for one of our Double Degree Master’s programmes:

  • Master's in Double Degree Programme in Econometrics and Mathematics. In combination with all specialisations of the Master's in Econometrics.
  • Double Degree Master's programme Econometrics and Stochastics and Financial Mathematics. In combination with the specialisation Financial Econometrics of the Master's in Econometrics.
More about the Double Degree Master's programmes
Experience the programme
Real-life case: high-frequency algorithmic Bitcoin trading using both financial and social features

Study and compare the performance of high-frequency trading (HFT) algorithms for trading Bitcoins on cryptocurrency exchanges. Is it 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?

I wanted to be an architect when I was a kid. Now I operate as a Machine Learning Engineer. The academic way of tackling a problem, something I learned during my studies, is something I still use a lot. Dolf Noordman - alumnus MSc Econometrics Read about Dolf's experiences with this Master's
Frequently asked questions
  • When do I need to select a specialisation track?

    A specialisation track must be chosen when applying for the Master’s programme. However, track modifications are still possible until late October. The criteria for all tracks are identical and do not impact the likelihood of being accepted into the programme.

  • How many students are in the programme?

    Our Master’s programme admits around 20 students per specialisation track. If you meet the entry requirements, you will always be accepted; this Master’s does not have a numerus fixus.

  • What are the weekly contact hours?

    Most courses have one 2-3 hour lecture and one 2-hour tutorial per week. Generally students take 3 courses at a time, so count on about 12-15 contact hours per week.

  • Will all lectures be held in person, or will there be options for online attendance?

    Our preference is for in-person lectures. Certain sessions may be pre-recorded or follow a hybrid format. This entails preparing for Question and Answer (Q&A) sessions through video clips and readings, with subsequent discussions during meetings.

  • Is attendance compulsory for lectures, tutorials, and other sessions?

    Attendance is usually not compulsory for lectures, but commonly for tutorials and other sessions. Students greatly benefit from being present and engaging in discussions with both the instructor and their classmates.

  • What is the typical method of assessment for most courses?

    The majority of courses have a final written on-site exam. Most courses have additional assessment methods, including oral presentations, developing research proposals, conducting experiments and writing up results. Finally, some courses grade active participation. This is reflected by attendance and activity in tutorials and online assignments.