{"ModuleCode":"ST5218","ModuleTitle":"Advanced Statistical Methods In Finance","Department":"Statistics & Applied Probability","ModuleDescription":"The objective of the module is to familiarize the students with selected advanced methods in quantitative finance. The major topics to be covered are: - Realized volatility and high frequency data - Risk management under heavy-tailed distributional assumptions - Independent component analysis and its applications - Local parametric estimation of violatility","ModuleCredit":"4","Workload":"3-1-0-3-3","Prerequisite":"ST4245 or Departmental approval","ExamDate":"2015-05-06T17:00+0800","ExamDuration":"P2H","ExamVenue":"S16-04-30/41","Types":["Module"],"Lecturers":["Fang Xiao"],"IVLE":[{"Announcements":null,"Forums":[],"Workbins":[],"Webcasts":[],"Gradebooks":[],"Polls":[],"Multimedia":[],"LessonPlan":[],"ID":"c1483250-1f85-439f-97c0-fb8876f7b591","CourseLevel":"1","CourseCode":"ST5218","CourseName":"ADVANCED STATISTICAL METHODS IN FINANCE","CourseDepartment":"","CourseSemester":"Semester 2","CourseAcadYear":"2014/2015","CourseOpenDate":"/Date(1415289600000+0800)/","CourseOpenDate_js":"2014-11-07T00:00:00","CourseCloseDate":"/Date(1431187140000+0800)/","CourseCloseDate_js":"2015-05-09T23:59:00","CourseMC":"0","isActive":"N","Permission":"S","Creator":{"UserID":null,"Name":"Fang Xiao","Email":null,"Title":null,"UserGuid":"0b47b07e-89d8-4e1c-bf01-3b5f8c9a70e7","AccountType":null},"hasGradebookItems":false,"hasTimetableItems":true,"hasGroupsItems":false,"hasClassGroupsForSignUp":false,"hasGuestRosterItems":true,"hasClassRosterItems":true,"hasWeblinkItems":false,"hasLecturerItems":true,"hasDescriptionItems":true,"hasReadingItems":true,"hasAnnouncementItems":false,"hasProjectGroupItems":false,"hasProjectGroupsForSignUp":false,"hasConsultationItems":false,"hasConsultationSlotsForSignUp":false,"hasLessonPlanItems":false,"Badge":0,"BadgeAnnouncement":0,"WebLinks":[],"Lecturers":[{"ID":"1bc98d8e-6cb9-4cef-927b-1a009679741a","User":{"UserID":null,"Name":"Fang Xiao","Email":null,"Title":null,"UserGuid":"0b47b07e-89d8-4e1c-bf01-3b5f8c9a70e7","AccountType":null},"Role":"Lecturer ","Order":1,"ConsultHrs":null}],"Descriptions":[{"ID":"1e5f053b-8835-4692-be49-41f07234cfff","Title":"Learning Outcomes","Description":"The objective of the module is to familiarize the students with selected advanced methods in quantitative finance. The major topics to be covered are:\r\n- Realized volatility and high frequency data\r\n- Risk management under heavy-tailed distributional assumptions\r\n- Independent component analysis and its applications\r\n- Local parametric estimation of violatility","Order":1},{"ID":"2e5f053b-8835-4692-be49-41f07234cfff","Title":"Prerequisites","Description":"ST4245 or Departmental approval","Order":2},{"ID":"6e5f053b-8835-4692-be49-41f07234cfff","Title":"Syllabus","Description":"Topics in Finance: returns; portfolio theory; cointegration; capital asset pricing model.
\nTopics in Statistics: exploratory data analysis; modeling univariate and multivariate distributions; copulas; resampling; time series.
\nThe following topics may also be discussed: principal component analysis; Markov chain Monte Carlo simulation; risk management; nonparametric regression; Black-Scholes formula.","Order":6},{"ID":"f1e8e9b7-f1e6-4e73-8888-8308e1daaace","Title":"Preclusions","Description":"NIL","Order":9},{"ID":"9819d59f-6a01-4933-a280-cd23cb230560","Title":"Workload","Description":"3-1-0-3-3
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