《ModernFinanceInvestmentStatistic》课程教学大纲（本科）.docx

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1、Modern Finance & Investment Statistics课程编号：20410153Score: 2hours： 32Prerequisites: Time series analysis x regression analysis v security investmentObjectt： StatisticsText Book ： Statistics and Finance ； David Ruppert ； Springer, 2006.College： School of finance and economics1 .Aim and TaskModern Fina

2、nce & Investment Statistics is an important professional course in statistic. It is based on mathematics, statistics and econometrics. It gives detail guide for statistical theory & methods application in finance field.In this course, we emphasis the application of method, software programming and a

3、bility to analysis and solve the problem.The main aim are:(1) Master the basic principle and method in financial statistic.(2) Master the basic condition for application in finance and investment.(3) Master the basic programming skill for realizing the application in finance and investment.2 Basic c

4、ontents and requirement:Chap 1 IntroductionTeaching content(1) The property, research object and method in this courseFuture, option and the brief introduction of Black-Scholes formula.Chap 2 Probability and statistical model1. Teaching content(1) Basic probabilityBasic mathematical statistics2.Requ

5、est:(1) Review the related concepts and theorem.(2) Understand some new concepts and theorem which will be use in the future.3. Keys and difficulties:(1) The key is grasping the statistical concepts in this course.(2) The difficulty is some new concepts and theorem.Chap 3 IncomeTeaching content(1) B

6、ehavior incomeRandom walk model(2) Effective market hypothesisDiscrete interest and compound continuous interest1. Request:(1) Understand random walk model and related theoryUnderstand the effective market hypothesis(2) Master discrete interest and compound continuous interestKeys and difficulties:(

7、1) The key is grasping discrete interest and compound continuous interestThe difficulty is random walk model and related theoryChap 4 Time Series ModelTeaching content(1) stationary processAR(1) process and the estimation(2) AR(p) modelARIMA process and model selection(3) ForecastRequest:(1) Underst

8、and time series model and related theoryMaster the parameter estimation and forecast for the model(2) Model selectionsoftware realization1. Keys and difficulties:(1) The key is grasping parameter estimation and forecast for the modelThe difficulty is model selectionChap 5 PortfolioTeaching content(1

9、) One risk capital and one risk free capitalTwo risk free capitals(2) Two risk free capitals and one risk capitalThe effective combination of N risk capitals1. Request:(1) Understand the equivalence of income and riskMaster the combination of one risk capital and one risk free capital(2) Understand

10、the effective combination of N risk capitalsKeys and difficulties:(1) The key is the combination of one risk capital and one risk free capitalThe difficulty is the effective combination of N risk capitalsChap 6 RegressionTeaching content(l)OLSRegression and the best linear prediction(2) Model select

11、ionNonlinear regression1. Request:(1) Understand the nonlinear regressionMaster Regression and the best linear prediction(2) Master the model selectionKeys and difficulties:(1) The key is the model selectionThe difficulty is the nonlinear regressionChap 7 Capital Asset Pricing ModelTeaching content(

12、1) CAPM theoryCapital market line(2) Beta coefficient and security market line and security character lineThe estimation of beta and the test of CAPM(3) Application of CAPM in portfolioRequest:(1) Understand the CAPM and capital market lineMaster beta coefficient and security market line and securit

13、y character line(2) Master the estimation of beta and the test of CAPMKeys and difficulties:(1) The key is beta coefficient and security market line and security character lineThe difficulty is the comparison between Capital market line and security character lineChap 8 ResampleTeaching content(1) C

14、onfidence interval for meanResample and effective portfolio(2) baggingRequest:(1) Understand the thinking of resampleUnderstand the application in portfolio1. Keys and difficulties:(1) The key is the thinking of resampleThe difficulty is the thinking of resample3、AllocationChapterAlocationmethodobje

15、ctteachingexperimentlabpracticesum1.Introduction22TeachingObject 12. Probability and statistical model66TeachingObject 13. Income44TeachingObject 14.Timeseries model44Teaching discussionObject 1Object 25 Portfolio44Teaching discussionObject 1Object 36. regression44Teaching discussionObject 2Object 37. CAPM66Teaching discussionObject 2Object 3model8. Resample22TeachingObject 3sum32324 ExamFormaimweightedothersPerformance in classroom10%Article90%5 v Reference BookStatistical Models and Methods for Financial Markets, Lai, Tze Leung; Xing, Haipeng; New York, NY: Springer, 20082017年9 月 20 日