Université Paris I Panthéon-Sorbonne FINANCIAL ECONOMETRICS Magistère de Finance and Master 2 Recherche MFB Academic Year: 2011-2012 (First Semester)
Financial Econometrics Dr. Christophe M. BOUCHER* and Dr. Bertrand B. MAILLET** * Quantitative Strategist within A.A.Advisors-QCG (ABN AMRO), Senior Partner at Variances, Lecturer in Financial Economics at the University Paris-1 (Panthéon-Sorbonne) and Researcher at the University of Paris-1 (CES/CNRS); e-mails:
[email protected] with cc to
[email protected]. ** Executive Head of Research within A.A.Advisors-QCG (ABN AMRO), Principal at Variances, Senior Reader in Financial Economics at the University of Paris-1 (Panthéon-Sorbonne) and Researcher at the University of Paris-1 (CES/CNRS and EIF); e-mails:
[email protected] with cc to
[email protected]. Host: www.bertrand-maillet.net
Seminar Aim: The objective of the seminar is to provide to M.Sc. students an introduction to a variety of concepts and practices of applied financial econometrics. Each lecture is composed with a theoretical part where the main ideas and concepts are introduced, and a second part - in which we present some empirical applications, completed with a series of exercises and tutorials for the student personal use. Applications will be programmed in MatLab; a special introduction of this software, with a special focus on financial tools, will be provided during the first sessions. After a general presentation on quantitative financial modelling and some general econometrics reviews, the lecture will emphasize the peculiarities of financial high-frequency data, paying a special attention to risk dynamics (return and volatility timesseries models) and estimation techniques. Main Asset Pricing Models will be briefly presented and estimated on real market data, and main results regarding co-integration techniques for performance prediction and risk control uses will be given.
Time and Place: Thursday 8:00AM-12:00AM (2 groups) ; Econometric Laboratory (MSE – Ground Floor) First day of the course: Friday the 23rd, September 2011 (8.00:10.00 am – G1 and 10.00:12:00 pm – G2 for the two first seminars).
University of Paris-1 Panthéon-Sorbonne, Masters in Finance, « Financial Econometrics ». ______________________________________________________________________________________________________________
General Agenda of the Seminar:
Session 1: General Introduction to Econometric Modelling of Financial Series
Session 2: Introduction to Matlab (I)
Session 3: Introduction to MatLab (II)
Session 4: Times-series Modelling of Financial Returns
Session 5: Models of Volatility (I)
Session 6: Models of Volatility (II)
Session 7: Co-integration Techniques in Finance (I)
Session 8: Co-integration Techniques in Finance (II)
Session 9: White Card to Pr. Monica Billio
Session 10: White Card to Pr. Monica Billio
Main References:
Hamilton J., (1994), Times Series Analysis, Princeton, 799 p.
Greene W., (1995), Econometric Analysis, Third edition, MacMillan Editor, 791 p.
Campbell J., A. Lo and A. MacKinlay, (1997), The Econometrics of Financial Markets, Princeton, 611 p.
Gouriéroux Ch., (1992), Modèles ARCH et applications financières, Economica, 288 p.
Jondeau E., S.-H. Poon and M. Rockinger, (2007), Financial Modeling under Non-Gaussian Distributions, Springer Finance, 542 p.
Bouchaud J.-P. and M. Potters, (2003), Theory of Financial Risk and Derivative Pricing, Cambridge, 400 p.
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University of Paris-1 Panthéon-Sorbonne, Masters in Finance, « Financial Econometrics ». ______________________________________________________________________________________________________________
Dr. Christophe M. Boucher Christophe is a Lecturer in Economics and Finance at the University of Paris-1 and Quantitative Economist/Strategist within AAAdvisors-QCG (ABN AMRO) and Variances. He received a PhD in Economics (“Misalignments, Aggregated Returns and Aggregated Volatility”) from the University of Paris-13. He has published several comments in newspapers and articles in academic journals such as Economics Letters, Finance, International Journal of Finance, Applied Economics Letters. He regularly serves as a referee for several international leading journals. His interest mainly concerns strategic allocation, predictability of returns and volatility, asset pricing and the macro-economy. He is currently a researcher at the CES/CNRS (Center for National Research) at the University of Paris-1. He received the “Young Economist Award” in 2006 from the European Economic Association (EEA) and the “Young Researcher in Economics Prize” from the Banque de France Foundation in 2010. Dr. Bertrand B. Maillet Bertrand is a Senior Reader in Financial Economics at the University of Paris-1 and an Executive Head of Research within AAAdvisors-QCG (ABN AMRO) and Principal at Variances. He is graduated in Economics, in Finance and in Statistics, and holds a PhD in Economics (“Market Efficiency and Performance Measurements”) from the University of Paris-1 (Panthéon-Sorbonne) and a PhD in Finance (HdR, “Essays on Market Risks”) from the same university. He has published several articles in academic journals in Economics, Finance and Applied Mathematics, such as Revue Economique, Quantitative Finance, Review of International Economics, the European Journal of Finance, Neural Networks, Neurocomputing, chapters in books edited by Wiley, Springer and Kluwer Academics, and serves as a referee in several international leading journals. His domain of expertise covers financial econometrics, risk management, performance measurement, portfolio management and asset pricing. He is also currently a researcher at the CES/CNRS (Center for National Research) at the University of Paris-1. He was a Visiting Professor of Finance at the University of Ca’ Foscari di Venezia (2010-2011) and is a Senior Fellow Academic at Europlace Institute of Finance.
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