《ModernFinanceInvestmentStatistic》课程教学大纲（本科）

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 economics.Aim and TaskModern Financ

2、e & 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 abi

3、lity to analysis and solve the problem.The main aim are:Master the basic principle and method in financial statistic.Master the basic condition for application in finance and investment.Master the basic programming skill for realizing the application in finance and investment.2 Basic contents and re

4、quirement:Chap 1 IntroductionTeaching contentThe property, research object and method in this courseFuture, option and the brief introduction of Black-Scholes formula.Chap 2 Probability and statistical model1. Teaching contentBasic probabilityBasic mathematical statistics2.Request:Review the related

5、 concepts and theorem.Understand some new concepts and theorem which will be use in the future.Keys and difficulties:The key is grasping the statistical concepts in this course.The difficulty is some new concepts and theorem.Chap 3 IncomeTeaching contentBehavior incomeRandom walk modelEffective mark

6、et hypothesisDiscrete interest and compound continuous interestRequest:Understand random walk model and related theoryUnderstand the effective market hypothesisMaster discrete interest and compound continuous interestKeys and difficulties:The key is grasping discrete interest and compound continuous

7、 interestThe difficulty is random walk model and related theoryChap 4 Time Series ModelTeaching contentstationary processAR(1) process and the estimationAR(p) modelARIMA process and model selectionForecastRequest:Understand time series model and related theoryMaster the parameter estimation and fore

8、cast for the modelModel selectionsoftware realizationKeys and difficulties:The key is grasping parameter estimation and forecast for the modelThe difficulty is model selectionChap 5 PortfolioTeaching contentOne risk capital and one risk free capitalTwo risk free capitalsTwo risk free capitals and on

9、e risk capitalThe effective combination of N risk capitalsRequest:Understand the equivalence of income and riskMaster the combination of one risk capital and one risk free capitalUnderstand the effective combination of N risk capitalsKeys and difficulties:The key is the combination of one risk capit

10、al and one risk free capitalThe difficulty is the effective combination of N risk capitalsChap 6 RegressionTeaching content(l)OLSRegression and the best linear predictionModel selectionNonlinear regressionRequest:Understand the nonlinear regressionMaster Regression and the best linear predictionMast

11、er the model selectionKeys and difficulties:The key is the model selectionThe difficulty is the nonlinear regressionChap 7 Capital Asset Pricing ModelTeaching contentCAPM theoryCapital market lineBeta coefficient and security market line and security character lineThe estimation of beta and the test

12、 of CAPMApplication of CAPM in portfolioRequest:Understand the CAPM and capital market lineMaster beta coefficient and security market line and security character lineMaster the estimation of beta and the test of CAPMKeys and difficulties:The key is beta coefficient and security market line and secu

13、rity character lineThe difficulty is the comparison between Capital market line and security character lineChap 8 ResampleTeaching contentConfidence interval for meanResample and effective portfoliobaggingRequest:Understand the thinking of resampleUnderstand the application in portfolioKeys and diff

14、iculties:The key is the thinking of resampleThe difficulty is the thinking of resample3、AllocationChapterAlocationmethodobjectteachingexperimentlabpracticesum1.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. Resample22T