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## Datascience for Finance

• Teacher(s):   Z.Zhao
• Course given in: English
• ECTS Credits: 6 credits
• Schedule: Autumn Semester 2022-2023, 4.0h. course + 1.0h exercices (weekly average)
•  sessions
•  course website
• Related programmes:
Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science

Master of Science (MSc) in Finance, Orientation Asset and Risk Management

Master of Science (MSc) in Finance, Orientation Corporate Finance

### Objectives

The objective of the class is to provide students with:

• an understanding of the basic concepts of statistics and estimation
• an understanding of how to design an estimation strategy
• an understanding of how to efficiently implement it and then reach an interpretation of the results.

This class should be a "hands-on" class on dealing with data. It will be composed of two parts, in the first part of each session, we will go over econometric models; in the second part, we will use software such as STATA, python, etc to analyze related examples.

### Contents

1. Introduction

Introduction to Econometrics

Tools used for economic analysis

2. The Linear Regression Model

The Linear Regression Model

Least Squares Regression

Hypothesis Tests and Model Selection

3. Estimation Methodology

4. Cross Sections, Time Series and Panel Data

* Important: I might adjust the pace of the class and this syllabus according to our progress throughout the semester. Please pay close attention to the Moodle system.

### References

Required Textbook:

W. Greene (2018), "Econometric Analysis" (8th edition, Prentice Hall).

Peter Kennedy (2008), " A Guide to Econometrics" (6th Edition, The MIT Press).

J. Hamilton (1994), "Time Series Analysis" (Princeton University Press).

W. McKinney (2013), "Python for Data Analysis" (O'Reilly Media Inc)

### Evaluation

#### First attempt

Exam:
Written 1h30 hours
Documentation:
Allowed
Calculator:
Allowed
Evaluation:

Group Project (30%) + Final Exam (70%).

#### Retake

Exam:
Written 1h30 hours
Documentation:
Allowed
Calculator:
Allowed
Evaluation:

The retake accounts for 100% of the grades.

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