Here are the 4 readings to help you review Statistics, Probability, and Regression Analysis. These articles may or may not cover everything you need to know. Reviewing the material from the prerequisite statistics/regression courses might be helpful:
Here is an Excellent Introduction to Regression Analysis: An Introduction to Regression Analysis - Alan O. Sykes.
Regression Review For Advanced Students: Review of Simple Regression - Rawlings, Pantula, Dickey.
Facts may inspire you to take this course: Current State of the Global Hedge Funds Industry (updated, 8/9/2013). Quote, “The asset under management of the global hedge funds industry totaled $2,050bn at the end of 2012 (Chart 1). ... Funds under management increased by a further $75bn in the first quarter of 2013 due both to positive returns and a net inflow of funds”. $2,050bn = OVER $2-TRILLIONS! Plus $75bn added in the 1Q of 2013! Doesn't sound like a period of recession or slow recovery, does it? Now compare this with the $700 TRILLIONS Notional Amount Outstanding in International Derivatives Market in early 2012 with a Gross Market Value of $27.3 TRILLIONS (see Chart 1 and Chart 4 of Derivatives, November 2012 report).
This course received 2-times the “Faculty Impact Award” nominated by Kellogg MBA students. Spring 2010, and Fall 2011.
PhD Students: This is our doctoral course on various topics in asset pricing. This year's focus is ʻFactor Modelsʼ and ʻAsset Pricing in Continuous-Timeʼ. We will review as many seminal, leading, and interesting published/working papers as (reasonably) possible within the 10 weeks period. See the syllabus for a tentative reading list. Please review Chapters 1-4, 7, and 8 of Gene Fama's book “Foundations of Finance” before the first meeting (see below for the links to download). Auditors are not allowed. Please registrar for the class if you are interested in these topics. For more information see me at Jacobs 4207.
MBA Students: Do you want to learn the state-of-the-art financial models and statistical techniques for making smart investments (beyond FINC 460-0)? Then this is the course for you. This advanced doctoral level course is designed to teach up-to-date empirical research in asset pricing and portfolio/asset management. This course will be demanding on your time, but learning about the cornerstones of modern research is worthwhile and potentially highly rewarding. Hedge funds and quantitative asset management groups in the investment banks aggressively look for these short-in-supply skills. An ideal student is someone who is not afraid of advanced statistics and probability, matrix algebra, and calculus. Hedge funds seem impressed with MATLAB abilities. We will organize tutorial sessions on MATLAB. You will also have unrestricted access to the most comprehensive financial databases via WRDS.
Here are 4 articles to help you review Statistical Hypothesis Testing, OLS Regression Analysis, Matrix Algebra, and Calculus. In addition, please look at the following chapters of Gene Fama's book “Foundations of Finance”.
Auditors are not allowed in this class. Please do registrar for the course if you are interested in learning the material. The feedbacks from last year's MBA students is highly enthusiastic (the course received an Impact Award). If you work hard then you will do well. Workload is not unbearable.
2/13/2013: Slides of my IMC Presentation.
Recommended Pre-Class Readings (for both PhD and MBA students): Please brush-up your statistics/econometrics knowledge from a finance perspective (and, of course, review the basics of finance) before our first meeting. I strongly recommend reading Chapters 1 — 4, 7 and 8 of Gene Fama's 1976 classic "Foundations of Finance". Its notations are a bit obsolete, but it is the best resource to learn the fundamental intuitions without digression to unnecessary technicalities. You may download those chapters from the following links (no password required, many thanks to Gene Fama for permission, and also to help me develop this course).
FINC 970-0 received 2-times the “Faculty Impact Award” nominated by Kellogg MBA students. Spring 2012, and Spring 2013.
1. Blackboard Site.
2. Webmail (Outlook Web Access).
3. Department of Finance.
4. Faculty Intranet.
5. AV Classroom.
6. Kellogg Course Catalog, PhD Courses.
7. Kellogg Academic Calendar.
8. Kellogg Intranets & Directories.
10. NU Directory.
11. NU Shuttles.
12. NU Cuisine Menu.
13. NU Library e-Journals.
14. JSTOR Paper Search.
15. SSRN Paper Search.
Last modified on Thursday, February 27, 2014 08:16:42 PM