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Advance Financial Analytics Syllabus

The document outlines a 12-week course on Advance Financial Analytics, covering topics such as R programming, regression analysis, portfolio analytics, time-series analytics, risk analytics, and technical analysis. Each week focuses on specific concepts and their applications in finance, with practical implementation using R. The course also includes recommended readings to support learning.

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18 views3 pages

Advance Financial Analytics Syllabus

The document outlines a 12-week course on Advance Financial Analytics, covering topics such as R programming, regression analysis, portfolio analytics, time-series analytics, risk analytics, and technical analysis. Each week focuses on specific concepts and their applications in finance, with practical implementation using R. The course also includes recommended readings to support learning.

Uploaded by

saikat
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd

Advance Financial Analytics

Course Layout

Week 1: Fundamentals of R Programming and Introduction to Business Statistics

 Data Visualization and Wrangling

 Working with data frames

 Processing large data

 Statistical Inference, Hypothesis Testing, and Confidence Intervals

 Application with R

Week 2: Application of Regression

 Introduction to regression modelling

 Simple and Multiple Linear Regression

 Assumptions of classical linear regression model and its violations

 Issues of heteroscedasticity, multicollinearity, autocorrelation

 Application with asset pricing models

 Implementation with R

Week 3: Portfolio Analytics

 Portfolio Optimization with two securities and multiple securities

 Construction of efficient frontier and market portfolio

 Portfolio performance evaluation and construction of market portfolio

 Asset Pricing Models

 Implementation in R

Week 4: Time-Series Analytics

 Introduction to Stationarity

 ARMA/ARIMA Modelling

 ACF/PACF

 Model Building and Goodness-of-Fit

 Modelling Non-stationary process

 Cointegration and VECM Models

 Time-series forecasting

 Implementation in R
Advance Financial Analytics

Week 5: Risk Analytics

 Introduction to Volatility Modelling

 Historical volatility models

 ARCH/GARCH Models

 VaR/CvaR models

 Implementation in R

Week 6: Logistic Regression

 Linear probability models

 Logit Model and Probit Models

 ROC curve, classification matrix

 Maximum Likelihood Estimation

 Finance Use case and implementation in R

Week 7: Panel Data Regression

 Introduction to Panel Models

 Fixed effects, Random effects, First difference, LSDV estimators

 Hausman test statistics

 Finance Use case and implementation in R

Week 8: Quantile Regression

 Introduction to quantile regression

 Regression quantiles

 Optimization scheme with quantile regression

 Theoretical underpinnings

 Finance use case with R implementation

Week 9: Markov Regime Switching Regression

 Introduction to Markov Process

 Transient and Recurrent processes

 Absorption probabilities

 Convergence

 Finance use case and implementation in R


Advance Financial Analytics

Week 10: Financial Markets Data Visualization with GGPLOT

 Basics of GGPLOT

 Layering, Facet wrap, aesthetics, geometric objects

 Use case with R implementation

Week 11: Technical Analysis

 Trend Analysis and Indicators

 Bollinger bands, trendlines, candlestick charts

 Dow theory, classical patterns

 Momentum Indicators

 R implementation

Week 12: Fixed Income Securities

 Bond fundamentals, G-Secs

 Duration, Convexity

 Application in portfolio management

 Use case with R implementation

Books and References

1. Elton, Gruber, Brown, Goetzmann; Modern Portfolio Theory and Investment Analysis, 9th Edition
(and onwards)

2. Advanced Financial Instruments for Sustainable Business and Decentralized Markets

3. Introductory Econometrics for Finance, Chris Brooks, 3rd Edition

4. Basic Econometrics by Gujarati, 5th Edition onwards

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