Main Field of Study and progress level:
Statistics: Second cycle, has only first-cycle course/s as entry requirements
Grading scale: Pass with distinction, Pass, Fail
Responsible department: Department of Statistics
Contents
The aim of the course is to provide students with the necessary toolkit to analyse and extract information from financial data. Financial markets produce huge amounts of numerical information (data). For instance, all the
transactions made daily at the Stockholm exchange are recorded. Other sources of information
include accounting disclosures, macro-economic variables, etc. This data must be analysed in
order to extract the necessary information to guide investment decisions. Market models and
statistical tools are essentials for this purpose and constitute the backbones of a rapidly evolving
discipline, which is called quantitative finance, empirical finance, financial
econometrics, etc. This course is called Analysis of financial data because the focus will be
on the actual analysis of real financial data. Market models and statistical techniques are
discussed to show how each specific data set can be analysed to obtain the desired information.
Expected learning outcomes
Upon successful completion of the course, the student should be able to:
- explain fundamental concepts of statistical terminology related to financial data
analysis, in particular to time series analysis
- utilize SPSS (statistical software) to perform basic statistical analysis on financial data
- interpret and comment SPSS outputs from their analysis
Required Knowledge
A 15-ECTS course in statistics, including regression analysis, or the equivalent is required. Moreover a 7.5-ECTS course in corporate finance or the equivalent is recommended.
Proficiency in English equivalent to Swedish upper secondary course English B (IELTS (Academic)
with a minimum overall score of 6.5 and no individual score below 5.5. TOEFL PBT (Paper-based
Test) with a minimum score of 575 and a minimum TWE score of 4.5). TOEFL iBT (Internet-based
Test) with a minimum score of 90 and a minimum score of 20 on the Writing Section).
Form of instruction
In the lectures topics are introduced through case studies, where real data is presented and
analysed. These analyses give ground to discuss different market models and to illustrate how
statistical techniques are used in practice. The lectures are complemented with labs where
students perform their own analyses of financial data.
Examination modes
The completion of the labs gives ground for the examination. The labs are compulsory.
Moreover, a final exam is given on the course. The ECTS Grading Scale is used: A
(Excellent), B (Very good), C (Good), D (Satisfactory), E (Sufficient), F (Fail).
Respective Swedish grades: VG (Pass with distinction), G (Pass), U (Fail).
Further information can also be obtained from the student counsellor
Crediting previous courses
It can be tested whether a (part or a whole) previous course
can be credited for. For more information about these rules please visit
www.umu.se/studentcentrum/regler_riktlinjer/index.html (Note that the information is
only available in Swedish).
Alexander Carol Market models : a guide to financial data analysis Chichester : Wiley : 2001 : xx, 494 s. : ISBN: 0-471-89975-5 Search the University Library catalogue
The econometrics of financial markets Campbell John Y., Lo Andrew W., MacKinlay Archie Craig Princeton, N.J. : Princeton Univ. Press : 1997 : xviii, 611 s. : ISBN: 0-691-04301-9 (inb.) Search the University Library catalogue
