## Introduction to Computational Finance and Financial Econometrics

 所在平台: CourseraArchive 课程类别: 经济与金融 授课老师： Eric Zivot

#### 课程详情

Learn mathematical, programming and statistical tools used in the real world analysis and modeling of financial data. Apply these tools to model asset returns, measure risk, and construct optimized portfolios using the open source R programming language and Microsoft Excel.  Learn how to build probability models for asset returns, to apply statistical techniques to evaluate if asset returns are normally distributed, to use Monte Carlo simulation and bootstrapping techniques to evaluate statistical models, and to use optimization methods to construct efficient portfolios.

#### 课程大纲

Topics covered include:

• Computing asset returns
• Univariate random variables and distributions
• Characteristics of distributions, the normal distribution, linear function of random variables, quantiles of a distribution, Value-at-Risk
• Bivariate distributions
• Covariance, correlation, autocorrelation, linear combinations of random variables
• Time Series concepts
• Covariance stationarity, autocorrelations, MA(1) and AR(1) models
• Matrix algebra
• Descriptive statistics
• histograms, sample means, variances, covariances and autocorrelations
• The constant expected return model
• Monte Carlo simulation, standard errors of estimates, confidence intervals, bootstrapping standard errors and confidence intervals, hypothesis testing , Maximum likelihood estimation, review of unconstrained optimization methods
• Introduction to portfolio theory
• Portfolio theory with matrix algebra
• Review of constrained optimization methods, Markowitz algorithm, Markowitz Algorithm using the solver and matrix algebra
• Statistical Analysis of Efficient Portfolios
• Risk budgeting
• Euler’s theorem, asset contributions to volatility, beta as a measure of portfolio risk
• The Single Index Model
• Estimation  using simple linear regression

#### 课程评论(2条)

 0 要有光LTBL 2013-08-28 22:35 0 票支持; 0 票反对 前几周难度略低，从第7周左右才真正开始讲有趣的，前面还是概率统计什么的为主。作业基本上属于太简单（当然这是本科课）。。。R的覆盖还是不错的，视频虽然是课上录的但是质量还可以，不过不能下载视频和没有statement of accomplishment是挺讨厌的。
 0 课程图谱 2013-06-01 21:45 0 票支持; 0 票反对 “计量金融学与金融经济计量学导论” 曾于去年9月份和12月份分别在Coursera上开过，授课老师是华盛顿大学的Eric Zivot教授，他著有一本同名的教材，貌似是国内学计量金融学的必读，具体不太清楚。该课程需要使用R语言来分析金融数据和建立模型，貌似挺有意思的。

#### 课程简介

Learn mathematical and statistical tools and techniques used in quantitative and computational finance. Use the open source R statistical programming language to analyze financial data, estimate statistical models, and construct optimized portfolios. Analyze real world data and solve real world problems.