This course is an introduction to data analysis and econometric modeling using applications in finance. Equivalently, this course is an introduction to computational finance and financial econometrics. As such, the course uses concepts from microeconomics, finance, mathematical optimization, data analysis, probability models, statistical analysis, and econometrics.
The course will be 10 weeks long . Each week consists of roughly two and a half hours of recorded video lecture, broken up into five- to 20-minute segments. Finance topics include asset return calculations, risk and performance measures, portfolio theory, index models, and if time permits, the capital asset pricing model. Mathematical topics include optimization methods involving equality and inequality constraints and basic matrix algebra. Statistical topics include probability and statistics (expectation, joint distributions, covariance, normal distribution, sampling distributions, estimation and hypothesis testing, and so on) with the use of calculus, descriptive statistics and data analysis, linear regression, basic time series methods, the simulation of random data, and resampling methods.