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Financial Forecasting Course: Theory and Practice

Dive into financial forecasting through time series analysis, econometrics, and statistics. Prerequisites include basic finance knowledge, econometrics, and mathematics up to calculus. Graded on problem sets, midterm exam, and group project.

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Financial Forecasting Course: Theory and Practice

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  1. Fin250f:Financial ForecastingSpring 2010 • Blake LeBaron • blebaron@brandeis.edu • www.brandeis.edu/~blebaron/classes/fin250f • TA: Xia Meng

  2. Introduction • Description • Prerequisites • Readings • Computer issues • Grading • Outline

  3. What is this course? • Financial forecasting • Time series • Econometrics/statistics

  4. 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

  5. Required Material • Books • Brooks, Introductory Econometrics for Finance • Web notesGriffiths, Matlab lecture notes • SoftwareMatlab (student version/computer cluster)www.mathworks.com (student version)

  6. Recommended Material • Books • MATLAB Primer, by Davis and Sigmon

  7. Computer Issues • Matlab student edition • Can also use Sachar machines • Programs and data from course website • Toolboxes: • Statistics, Optimization, Econometrics

  8. Grading • Problem sets (33%) • Midterm exam (33%) • Group project (33%)

  9. Course Outline • Website

  10. First Assignment • Get MATLAB working • Read: • Brooks, chapter 1 • Brooks, appendix A1-A5

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