5610593: C20 Statistics

Description

• Statistics is an important module of the MSc in Finance program, with the purpose of making students familiar with the statistical methods and tools necessary not only for producing high quality research output in finance but also necessary to understand and apply the quantitative tools that are at the core of a modern and innovative financial business.
• This involves in particular the concept of statistical learning (the foundation of machine learning and artificial intelligence).
• In this context students will briefly recapture simple statistical concepts such as hypothesis testing within financial data while at the same time learning to use R, a statistical software package that has become standard in research as well as practice.
• Additionally, they will learn to find and download data from professional providers (Refinitiv) as well as the internet.

Learning Outcomes

• Students understand and can apply simple and multiple linear regressions as well as corresponding diagnostic tests.
• Students understand the concepts of supervised and unsupervised learning, can give examples and apply such methods to financial datasets.
• Students understand the pitfalls related to financial time series and know the corresponding methods and tools to overcome them.

Lectures Method

Exercise and lecture