Week 1: Advanced R programming for Financial Market Applications: Introduction and Background
Fundamentals of R: Installation and set-up, set working directory, packages, and libraries; R operators: Arithmetic, assignment, comparison, and logical operators; Working with different data types; Vector creation and manipulation; Miscellaneous functions: Sequence, repetition, sorting, generate random numbers, user-defined functions; Factor variables, Indexing, Data coercion, conditional statements.
Week 2: Modern Financial Market Microstructure and Liquidity: Risk-Return Analysis in Investment Decisions – Measures of Risk and Return, Order-driven vs. Quote-driven markets, Market efficiency, Risk preferences, Limit order books, market microstructure types, economic theory of choice, interest rate compounding
Week 3: Portfolio construction and Optimization with Modern Financial Market Instruments: Portfolio risk and expected returns for two securities and multiple securities, risk diversification with portfolios, correlation structure, mean-variance framework, portfolio construction with R. Portfolio Possibility curve, Efficient frontier, Minimum Variance portfolios, Introduction to risk-free lending and borrowing, market risk and beta, portfolio optimization with R
Week 4: Pricing of New Age Assets: Capital Asset Pricing Model (CAPM), Capital Market Line, Security Market Line, Fallings of CAPM, Single-Index and Multi-Index models, Expected Risk and Return with Index models, 3-Factor Fama-French Model
Week 5: European Union Emission Trading Scheme (EU-ETS): Introduction to EU-ETS, Principles, and objectives of EU-ETS, structure, phases, and reform in EU-ETS, allowance allocation mechanism, Market stability reserve, financial instruments in carbon markets and major organized exchanges
Week 6: Global emission trading schemes and their connectedness with other financial markets: Emission trading schemes in other countries: China, UK, South Korea, New Zealand, etc., Price drivers in carbon emission trading schemes, carbon market connectedness with stock, energy, and other financial markets
Week 7: Blockchain, Cryptocurrency, and CBDCs: Background, History, and Characteristics of blockchain technology, Categorization, Technological underpinnings, Consensus models, Cryptocurrency: A use case of blockchain, Features of cryptocurrency, Major cryptocurrencies, Emergence of CBDCs across the countries, Motivation for issuing CBDCs, Different models and designs of CBDCs, Implications for banks, financial stability, and monetary policy
Week 8: ESG and Sustainable Investing: Climate finance, UNFCC, and Kyoto protocol, ESG and Socially Responsible Investment (SRI) Funds, Types of screening, Relationship between financial performance and screening intensity, Economic and Financial Effects of Environmental Regulation, Major ESG markets: US, EU, Japan, China, Canada, Australia, India, etc. Portfolio Performance Evaluation: One parameter measures, selection, timing, downside risk measurement.
Week 9: Time-series modelling with Advanced Financial Market Instruments : ARMA/ARIMA models, Mean reverting trading strategies with vector error correction models and cointegration, model risk management, back testing, model validation, and stress testing with R
Week 10: Risk Management with Modern Financial Market Instruments: Value-at-risk, Expected Shortfall, ARCH/GARCH models, implementation with R
Week 11: Introduction to Panel Data Modelling: Properties of Panel Data, First Difference (FD) estimation, Fixed Effects (FE) estimation, Fixed Effects (FE) estimation, Residual diagnostics and robust standard errors
Week 12: Advanced Non-Linear Modelling with Quantile Regression: Reading & Writing Quantile Data, Quantile Data Manipulation, Outlier Treatment, Quantile Data Visualization, Diagnostic Tests, Residual Analysis, Robust Estimation
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