Unit information: Quantitative Methods for Finance 1 in 2022/23

Unit name	Quantitative Methods for Finance 1
Unit code	EFIM20041
Credit points	20
Level of study	I/5
Teaching block(s)	Teaching Block 1 (weeks 1 - 12)
Unit director	Dr. Pedio
Open unit status	Not open
Units you must take before you take this one (pre-requisite units)	Mathematics for Economics Probability, Statistics and Econometrics
Units you must take alongside this one (co-requisite units)	None
Units you may not take alongside this one	N/A
School/department	School of Accounting and Finance - Business School
Faculty	Faculty of Social Sciences and Law

Unit Information

This unit provides exposure to some of the theory and practice of empirical research in Finance.

The syllabus will feature mostly standard techniques in Econometrics but make extensive use of examples and applications that are specific to Finance. It will also introduce some techniques that are specific to Finance.

Topics include:

• Review of estimation, properties of estimators (unbiasedness, efficiency, sampling distribution, consistency), and hypothesis testing.
• Simple and multiple regression analysis; omitted variable bias; functional form; heteroskedasticity and weighted least squares; endogeneity (measurement error, simultaneity).
• Introduction to stationary and non-stationary time series analysis.
• Introduction to panel data (fixed and random effects).

Students will work with software packages (R Studio) to perform and interpret estimations from financial data sets.

Your learning on this unit

Students will be able to:

1. Demonstrate an understanding of the relationship between financial theory and empirical testing
2. Identify potential violations of the Classical Linear Model assumptions and understand their consequences.
3. Demonstrate an ability to interpret financial data arising in the context of the firm and in financial markets
4. Demonstrate the skills necessary to manipulate financial data and carry out statistical and econometric tests
5. Demonstrate problem-solving skills and ability to think analytically.

How you will learn

The teaching delivery will include a mix of lectures, exercise lectures, and practical tutorials (to happen in computer labs), as well as drop-ins and other online learning opportunities.

Formative assessment will consist of interpretative questions (based on research papers), marked by the class tutor and returned with feedback.

How you will be assessed

Summative assessment

• 2.5 hours closed book exam (80%)
• Group work (20%) – Produce a report based on findings from work with data with use of software systems (maximum 10 pages)

Each assessment covers all learning outcomes

Students that miss the group assessment will be evaluated by means of an individual assignment that is similar in nature, but 1/N% in terms of length, (e.g., time required for completion) compared to the original group project and N is the size of the group.

Resources

If this unit has a Resource List, you will normally find a link to it in the Blackboard area for the unit. Sometimes there will be a separate link for each weekly topic.

If you are unable to access a list through Blackboard, you can also find it via the Resource Lists homepage. Search for the list by the unit name or code (e.g. EFIM20041).

How much time the unit requires
Each credit equates to 10 hours of total student input. For example a 20 credit unit will take you 200 hours of study to complete. Your total learning time is made up of contact time, directed learning tasks, independent learning and assessment activity.

See the Faculty workload statement relating to this unit for more information.

Assessment
The Board of Examiners will consider all cases where students have failed or not completed the assessments required for credit. The Board considers each student's outcomes across all the units which contribute to each year's programme of study. If you have self-certificated your absence from an assessment, you will normally be required to complete it the next time it runs (this is usually in the next assessment period).
The Board of Examiners will take into account any extenuating circumstances and operates within the Regulations and Code of Practice for Taught Programmes.