ECTS - Statistical Methods and Financial Applications
Statistical Methods and Financial Applications (MATH437) Course Detail
| Course Name | Course Code | Season | Lecture Hours | Application Hours | Lab Hours | Credit | ECTS |
|---|---|---|---|---|---|---|---|
| Statistical Methods and Financial Applications | MATH437 | Area Elective | 3 | 0 | 0 | 3 | 6 |
| Pre-requisite Course(s) |
|---|
| N/A |
| Course Language | English |
|---|---|
| Course Type | Elective Courses |
| Course Level | Bachelor’s Degree (First Cycle) |
| Mode of Delivery | Face To Face |
| Learning and Teaching Strategies | Lecture, Question and Answer, Problem Solving. |
| Course Lecturer(s) |
|
| Course Objectives | The goal of this course is to provide students in mathematical finance programs with a basic background in statistical methods. The presentation of the course attempts to strike a balance between theory and applications. |
| Course Learning Outcomes |
The students who succeeded in this course;
|
| Course Content | Central tendency/dispersion measures, moments, maximum likelihood estimation, correlation and simple linear regression, multi-regression model, autocorrelation and multi-collinearity on regression models, portfolio theory, CAPM and ARMA approaches. |
Weekly Subjects and Releated Preparation Studies
| Week | Subjects | Preparation |
|---|---|---|
| 1 | Role of statistical method in financial analysis, such as central tendency/dispersion measures of unclassified and classified data | [2] pp.254-262 |
| 2 | Moment of a random variable, skewness and kurtosis of distributions by moment | [2] pp. 266-270 |
| 3 | Lost function, Risk Function, Least Square and Maximum Likelihood Estimation of a parameter | [2] pp. 244-249 [2] pp. 267-270 |
| 4 | Pearson Correlation, sperman’s rank correlation Significance tests of correlation coefficient, confidence interval of correlation | [1] pp. 38-40 [2] pp. 383-390 |
| 5 | Simple Linear Regression Model, Estimation of Model Coefficients, Sum of Squared Error | [1] pp. 170-183 [2] pp. 359-376 |
| 6 | prediction of dependent variable, significance test of regression coefficient, confidence interval of predicted y value, determination coefficient | [1] pp.183-187 |
| 7 | Midterm | |
| 8 | Trend Analysis, Extrapolation of y value for time series | [1] pp.183-187 |
| 9 | Multi regression model, variance-covariance matrix, significance test of regression coefficients, ANOVA test | [1] pp. 192-206 |
| 10 | Multicollinearity, Autocorrelation, Von Neumann test | [1] pp. 187-219 |
| 11 | Portfolio Management, Expected Return and Volatility of portfolio | [1] pp. 138-143 |
| 12 | Risky asset and risk free asset, meaning of beta coefficient, SHARPE ,TREYNOR and JENSE indexs | [1] pp. 143-147 |
| 13 | CAPM approach, Market Line, Alfa value of any investment | [1] pp. 225-242 |
| 14 | Forecasting by Moving average method and ARMA model | [1] pp. 101-110 |
| 15 | Review | |
| 16 | Final |
Sources
| Course Book | 1. Statistics and Finance, An introduction, David Ruppert, Springer Texts in statistics. |
|---|---|
| 2. Mathematical Statistics, John E. Freund, Prentice/ Hall İnternational editions, Second edition | |
| Other Sources | 3. Methods and Applications of Statistics in Business, Finance and Management Science, N. Balakrishnan, Editor, Wiley Publication |
Evaluation System
| Requirements | Number | Percentage of Grade |
|---|---|---|
| Attendance/Participation | - | - |
| Laboratory | - | - |
| Application | - | - |
| Field Work | - | - |
| Special Course Internship | - | - |
| Quizzes/Studio Critics | - | - |
| Homework Assignments | 2 | 10 |
| Presentation | - | - |
| Project | - | - |
| Report | - | - |
| Seminar | - | - |
| Midterms Exams/Midterms Jury | 2 | 50 |
| Final Exam/Final Jury | 1 | 40 |
| Toplam | 5 | 100 |
| Percentage of Semester Work | 60 |
|---|---|
| Percentage of Final Work | 40 |
| Total | 100 |
Course Category
| Core Courses | X |
|---|---|
| Major Area Courses | |
| Supportive Courses | |
| Media and Managment Skills Courses | |
| Transferable Skill Courses |
The Relation Between Course Learning Competencies and Program Qualifications
| # | Program Qualifications / Competencies | Level of Contribution | ||||
|---|---|---|---|---|---|---|
| 1 | 2 | 3 | 4 | 5 | ||
| 1 | Acquiring the skills of understanding, explaining, and using the fundamental concepts and methods of economics | |||||
| 2 | Acquiring the skills of macro level economic analysis | |||||
| 3 | Acquiring the skills of micro level economic analysis | |||||
| 4 | Understanding the formulation and implementation of economic policies at the local, national, regional, and/or global level | |||||
| 5 | Learning different approaches on economic and related issues | |||||
| 6 | Acquiring the quantitative and/or qualitative techniques in economic analysis | X | ||||
| 7 | Improving the ability to use the modern software, hardware and/or technological devices | |||||
| 8 | Developing intra-disciplinary and inter-disciplinary team work skills | X | ||||
| 9 | Acquiring an open-minded behavior through encouraging critical analysis, discussions, and/or life-long learning | |||||
| 10 | Adopting work ethic and social responsibility | |||||
| 11 | Developing the skills of communication. | |||||
| 12 | Improving the ability to effectively implement the knowledge and skills in at least one of the following areas: economic policy, public policy, international economic relations, industrial relations, monetary and financial affairs. | X | ||||
ECTS/Workload Table
| Activities | Number | Duration (Hours) | Total Workload |
|---|---|---|---|
| Course Hours (Including Exam Week: 16 x Total Hours) | |||
| Laboratory | |||
| Application | |||
| Special Course Internship | |||
| Field Work | |||
| Study Hours Out of Class | 16 | 3 | 48 |
| Presentation/Seminar Prepration | |||
| Project | |||
| Report | |||
| Homework Assignments | |||
| Quizzes/Studio Critics | |||
| Prepration of Midterm Exams/Midterm Jury | 2 | 20 | 40 |
| Prepration of Final Exams/Final Jury | 1 | 40 | 40 |
| Total Workload | 128 | ||