ETF3300 Quantitative methods for financial markets
Faculty of Business and Economics
ETF3300 Quantitative methods for financial markets is a level 3, 6-credit-point, undergraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 2 at Caulfield. It needs ETF2100, ETS2111, ETB2111, ETF2121, ETS2410, ETC2410, ETF5910, ETW2111, ETC3440, ETF5912 or ETW2410 and unlocks 4 units.
- Credit points
- 6
- Offered in 2020
- Semester 2
- Caulfield
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2020 handbook entry. See the 2027 entry.
Reviews
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Requisites
Before ETF3300
Prerequisites
Pass these before you enrol.
- ETF2100Introductory econometricsNo reviews yet
- ETS2111Business data modellingNo reviews yet
- ETB2111Business data modellingNo reviews yet
- ETF2121Data analysis in businessNo reviews yet
- ETS2410Introductory econometricsNo reviews yet
- ETC2410Introductory econometricsNo reviews yet
- ETF5910Introductory applied econometricsNo reviews yet
- ETW2111Business data modellingNo reviews yet
- ETC3440Introductory econometricsNo reviews yet
- ETF5912Data analysis in businessNo reviews yet
- ETW2410Introductory econometricsNo reviews yet
Prohibitions
You can't enrol if you have passed any of these.
After ETF3300
4 units list ETF3300 as a prerequisite or corequisite.
Equivalent units
The same content under another code. Only one of them counts.
Overview
This unit covers statistics and econometric tools to assess the time series properties and distributional properties of financial series. It teaches how to model and estimate the single-factor and multiple-factor capital asset pricing models; and conduct diagnostic checks and reliable statistical inferences on various risk-return relationships and financial market hypotheses. It also introduces recent literature on modelling, estimating and forecasting financial markets' volatility; and parametric and nonparametric methods to estimate the value at risk and expected shortfall. Statistical software will be used to carry out financial data analysis and applied research projects.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Caulfield | On campus |
Assessment
- Within semester assessment40%
- ExaminationThreshold hurdle60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
assess the time series and distributional properties of financial data
- 2
evaluate the risk-return relationship among financial assets
- 3
estimate the long run relationship among financial time series and test market hypotheses arising in finance
- 4
analyse and model the volatility of financial returns and estimated value at risk and relate measures
- 5
demonstrate the ability to generate and analyse EViews computer output.
Workload and teaching
- Lectures24 hours
- Tutorials12 hours
- Teaching approachActive learning
Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.
Where it fits
ETF3300 is part of 3 areas of study in the 2020 handbook.
Contacts
- Chief Examiners
- Dr Wei Wei
Common questions
What are the prerequisites for ETF3300?
You need ETF2100, ETS2111, ETB2111, ETF2121, ETS2410, ETC2410, ETF5910, ETW2111, ETC3440, ETF5912 or ETW2410 before you enrol.
What can I take after ETF3300?
ETF3300 is a prerequisite or corequisite for 4 units, including ETC4460, ETC5460, ETF5231 and ETF5300.
When is ETF3300 offered?
In 2020, ETF3300 runs in Semester 2 at Caulfield.
How much work is ETF3300?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETF3300 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.
Which majors and minors include ETF3300?
ETF3300 is part of Banking and finance; and Business statistics.