UnitLevel 5Postgraduate

ETF5330 Quantitative methods for financial markets

Faculty of Business and Economics

ETF5330 Quantitative methods for financial markets is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2020 in Semester 2 at Caulfield. It needs ETC2410, ETF5910, ETW2111, ETC3440, ETF5912, ETW2410, ETF2100, ETS2111, ETB2111, ETF2121 or ETS2410 and unlocks 3 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.

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Requisites

Before ETF5330

Prohibitions

You can't enrol if you have passed any of these.

One of

Prerequisites

Pass these before you enrol.

One of

After ETF5330

3 units list ETF5330 as a prerequisite or corequisite.

Equivalent units

The same content under another code. Only one of them counts.

ETF3300Quantitative methods for financial marketsNo reviews yet

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 assessment
40%
ExaminationThreshold hurdle
60%

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 computer output
6
critically analyse the application of principles underlying quantitative methods in finance.

Workload and teaching

Laboratories12 hours
Lectures24 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.

Contacts

Chief Examiners: Dr Wei Wei

Common questions

What are the prerequisites for ETF5330?

You need ETC2410, ETF5910, ETW2111, ETC3440, ETF5912, ETW2410, ETF2100, ETS2111, ETB2111, ETF2121 or ETS2410 before you enrol.

What can I take after ETF5330?

ETF5330 is a prerequisite or corequisite for 3 units, including ETC5460, ETF5231 and ETF5300.

When is ETF5330 offered?

In 2020, ETF5330 runs in Semester 2 at Caulfield.

How much work is ETF5330?

The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.

Does ETF5330 have an exam?

Yes. The exam is worth 60% of the final mark, alongside 1 other task.

More details

Credit points: 6
Level: 5
Study level: Postgraduate
Faculty: Faculty of Business and Economics
Organisational unit: Department of Econometrics and Business Statistics

Type: Coursework
EFTSL: 0.125
Student contribution: SCA Band 2
Study abroad: Not available
Handbook years: 20202021 2022 2023 2024 2025 2026 2027