The University of Southampton
Courses

MANG6008 Quantitative Research in Finance

Module Overview

This module provides you with the opportunity to engage with econometrics theory focusing. In particular, we focus on analysing financial markets and firms’ investment and financing decisions.

Aims and Objectives

Module Aims

The purpose of this module is to provide you with the necessary skills to undertake quantitative research into the structure of financial markets.

Learning Outcomes

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

  • demonstrate a critical understanding of the basic theory of financial econometrics;
  • demonstrate a critical understanding of some specific applications of such theory;
  • apply such understanding to a specific empirical project;
  • demonstrate competence in using a basic econometrics software package;
Transferable and Generic Skills

Having successfully completed this module you will be able to:

  • demonstrate skills in utilizing analysis software.
Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

  • demonstrate quantitative skills in evaluating numerical data;

Syllabus

Part 1: Introduction to the Theory of Econometrics • Introduction to simple and multiple regression • Hypothesis testing and the use of diagnostic statistics • ARCH and GARCH models • Introduction to Eviews Part 2: Applications • Non-Synchronous / Thin Trading • Prices, Dividends and Returns • Market Microstructure • Volatility Forecasting In addition, you will undertake an empirical project involving research design and the estimation and testing of hypotheses using the menu-driven software package MicroFit.

Learning and Teaching

Teaching and learning methods

This module will involve 24 contact hours over a six-week period. Lectures are used to introduce and develop knowledge of individual topics. Lectures may involve formal lectures using data projection. The practical (“Lab”) session actively introduces students to the use of econometrics software in performing “Real World” analyses of financial data.

TypeHours
Teaching24
Independent Study126
Total study time150

Resources & Reading list

Brook, Chris (2008). Introductory Econometrics for Finance. 

Asterious, G. and S. Hall (2011). Applied Econometrics. 

Cuthbertson, K. (1996). Quantitative Financial Economics. 

Assessment

Formative

Coursework

Summative

MethodPercentage contribution
Examination  (2 hours) 70%
Group project  (4000 words) 30%

Repeat

MethodPercentage contribution
Examination  (4000 words) 30%
Examination  (2 hours) 70%

Referral

MethodPercentage contribution
Examination  (2 hours) 100%
Share this module Facebook Google+ Twitter Weibo

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×