Syllabus
Course outline (tentative and subject to change)
· Building and testing asset pricing models
· Arbitrage pricing theory
· Mean variance efficient frontier
· CAMP/Single factor models
· Multi factor models
· Cross-sectional regressions, Fama-MacBeth
· Conditional vs. unconditional asset pricing models
· Term structure models
· Affine models
· Factor analysis and principal component methods
· State space models and filtering
· Shadow rates, ZLB
· Estimation methods
· Simulated method of moments
· Indirect inference and efficient method of moments
· Market microstructure
· Price discovery, market efficiency, liquidity
· Algorithmic trading, high-frequency trading, arbitrage, high-frequency data
· Topics (if time permits)
· Green finance
· Intro to corporate finance
· Big data in finance, basic machine learning techniques