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
Advanced Econometrics I
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.
Theory of Markets
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).
Data Science Methods
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.
Advanced Econometrics II
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 Mathematics for Insurance
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.
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 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.
Mandatory electives: semester 1
Choose 1 out of 2 electives:
CED 1: Learning, Stability and Chaos
- Health Econometrics: Empirical Research
Mandatory electives: semester 2
Choose 1 out of 7 electives:
- Economic and Financial Network Analysis
- Environmental Econometrics: Empirical Research
- Machine Learning in Finance
- Real Estate and Alternative Investments
- Real Estate Finance
- Topics in Microeconometrics
- Behavioural Macro and Finance
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.
If you are a student of the Econometrics MSc 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.
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 MSc in Econometrics.
- Double Degree Master's programme Econometrics and Stochastics and Financial Mathematics. In combination with the specialisation Financial Econometrics of the MSc in Econometrics.
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
Examples of relevant issues that could be discussed in your classroom.
- Value at Risk (VaR) and Expected Shortfall (ES) are extensively employed risk metrics within the field of finance. Financial econometrics investigates different techniques for accurately estimating these measures, such as historical simulation, parametric models, and Monte Carlo methods.
- The analysis of high-frequency data has gained prominence due to the growing accessibility of financial data at a granular timescale. Researchers can now more precisely examine intraday patterns, market microstructure, and volatility dynamics. This involves various models, such as realised volatility and market impact analysis.
- Activa pricing
- What is the neural circuitry involved in financial and social decision-making?
Internship and exchange
Once you have completed your curriculum, you will have the possibility of doing an internship or going on an exchange abroad. For international students, it is an excellent opportunity to experience the Dutch labour market.
Dutch language course
Are you interested in learning Dutch? There are various options available various options available to maximise your Dutch experience and prepare for your future job in the Netherlands.
Many of our students are members of a study association. It is fun and useful for your future career at the same time. Faculty student associations are a great way to meet fellow students and future employers. They organise study trips (abroad), career events, weekly debates and social events. You can also purchase your textbooks and course syllabi at reduced rates.
Overview Study Associations
- Faculty student association Sefa
- International Student Committee (ISC,part of Sefa)
- International Student Network Amsterdam (ISN, part of Sefa)
- Study Association Actuarial Sciences, Econometrics and Operational Research (VSAE)
- Financial Study Association Amsterdam (FSA)
- Marketing Association Amsterdam (MAA)
- International study association (AIESEC)
Amsterdam has a thriving student community with many activities organised outside of the university’s grounds. You will find student associations focusing on networking, specific interests and sports. It is only at sororities and fraternities that you can expect an initiation ritual (hazing).
At university, you are entitled to make your voice heard and assess the quality of your own education. Students can participate in the discussion on the university's education policy in various ways, such as by joining the Programme Committee, the Faculty Student Council or the first-year focus group. You can also stand for election and dedicate your efforts to the programme and your fellow students.