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 2024 in Semester 2 at Caulfield. It needs ETC3440, ETF2100, ETC2410, ETF5910 or ETW2510 and unlocks 1 unit.
- Credit points
- 6
- Offered in 2024
- Semester 2
- Caulfield
- Assessment
- Exam 50%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2024 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.
After ETF5330
1 unit list ETF5330 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 2024
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Caulfield | On campus |
Assessment
- Within semester assessment50%
- ExaminationThreshold hurdle50%
Learning outcomes
When you finish this unit, you should be able to:
- 1
analyse and interpret the time series patterns and distributional characteristics of financial data to gain insights into market trends
- 2
assess the relationship between risk and return for various financial assets to make data-driven investment decisions
- 3
apply statistical methods to test market hypotheses and evaluate asset pricing models
- 4
analyse and model the volatility of financial returns, and utilise measures such as value-at-risk (VaR) to assess and manage potential risks associated with investment portfolios
- 5
demonstrate proficiency in applying statistical software such as R to perform statistical analysis and derive meaningful insights from financial data for business applications.
Workload and teaching
- Tutorials18 hours
- Seminars24 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. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.
This unit engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
Learning resources
Technology resources
There may be an additional cost associated with purchasing a physical and/or virtual calculator. Specific details will be provided in the Learning Management System by commencement of Orientation week.
Where it fits
ETF5330 is part of 1 area of study in the 2024 handbook.
Contacts
- Chief Examiners
- Dr Wei Wei
Common questions
What are the prerequisites for ETF5330?
You need ETC3440, ETF2100, ETC2410, ETF5910 or ETW2510 before you enrol.
What can I take after ETF5330?
ETF5330 is a prerequisite or corequisite for 1 unit, including ETX5460.
When is ETF5330 offered?
In 2024, 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 50% of the final mark, alongside 1 other task.
Which majors and minors include ETF5330?
ETF5330 is part of Data analytics for business.