Fin250f financial forecasting spring 2010
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Fin250f:Financial Forecasting Spring 2010. Blake LeBaron [email protected] www.brandeis.edu/~blebaron/classes/fin250f TA: Xia Meng. Introduction. Description Prerequisites Readings Computer issues Grading Outline. What is this course?. Financial forecasting Time series

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Fin250f financial forecasting spring 2010
Fin250f:Financial ForecastingSpring 2010


Introduction
Introduction

  • Description

  • Prerequisites

  • Readings

  • Computer issues

  • Grading

  • Outline


What is this course
What is this course?

  • Financial forecasting

  • Time series

  • Econometrics/statistics


Prerequisites
Prerequisites

  • Required:

    • Fin201 (basic finance knowledge)

    • Or Econ171 for BA/MA students

    • Probability/Statistics (Econ211f/212f)

      • Econometrics class

      • Mathematical statistics class

      • Multivariate linear regression (simple)

    • Math: Calculus (1 sem.)

    • Computer skills (enthusiasm)

  • Who can take this course?

    • 2nd year MA, MBAi

    • MSF, BA/MA

    • 2nd year and beyond Ph.D


Required material
Required Material

  • Books

    • Brooks, Introductory Econometrics for Finance

  • Web notesGriffiths, Matlab lecture notes

  • SoftwareMatlab (student version/computer cluster)www.mathworks.com (student version)


Recommended material
Recommended Material

  • Books

    • MATLAB Primer, by Davis and Sigmon


Computer issues
Computer Issues

  • Matlab student edition

  • Can also use Sachar machines

  • Programs and data from course website

  • Toolboxes:

    • Statistics, Optimization, Econometrics


Grading
Grading

  • Problem sets (33%)

  • Midterm exam (33%)

  • Group project (33%)



First assignment
First Assignment

  • Get MATLAB working

  • Read:

    • Brooks, chapter 1

    • Brooks, appendix A1-A5


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