Course Overview

This course provides an in-depth exploration of key financial markets through an empirically driven approach:

• Goal: The ultimate goal of the course is to help students develop a love and appreciation for the financial industry in general and the financial markets in particular. In which ways are financial markets important? How do financial practitioners help contribute to the broader society?
• Coverage: We will cover equity, fixed-income, currency, commodities and derivatives, focusing on the key risk factors of the respective markets and their relation to the broader macro-economic environment. Institutional knowledge as well as regulatory environment will also be covered in relation to the financial markets, as clear awareness of such issues helps students break the boundary of textbooks, and connect with the real world.
• Approach: Our approach is empirical in nature. We integrate finance models with financial data, with the help of statistical and econometric tools. Through this learning process, students are expected to gain strength not only in quantitative and analytical capabilities but also in economic insights and intuitions.

Financial Markets 金融市场, Spring 2020

Testing, Spring 2020

Day 1: Markets, Models, and Data

• Classes 1 & 2: Financial Markets Amidst Covid-19. Slides
• Class 3: Financial Data and Empirical Estimation. Slides Notes
• Class 4: Modern Finance and its Impact in the Real World. Slides Notes
• Class 5: Alpha, Beta, and the CAPM. Slides Notes

Day 2: Equity

• Class 6: Equity Quant Investing, Part 1. Slides Notes
• Class 7: Equity Quant Investing, Part 2. Slides Notes
• Class 8: Predicting Stock Market Returns and Market Efficiency. Slides Notes
• Class 9: Time-Varying Volatility. Slides Notes
• Class 10: Options and Stock Market Crashes. Slides Notes 1 Notes 2

Day 3: Fixed Income

• Class 11: The U.S. Treasury Market. Slides Notes
• Class 12: Bond Math, Yield and Duration. Slides Notes
• Class 13: The Yield Curve. Slides Notes
• Class 14: Modeling the Yield Curve. Slides Notes
• Class 15: Interest Rate Swaps. Slides Notes

Day 4: Chinese Markets

• Class 16: China's Financial System. Slides
• Class 17: Risk Management for Banks. Slides Notes
• Class 18: Chinese Bond Market. Slides
• Class 19: Chinese Credit Market. Slides Paper
• Class 20: Asset Allocation. Slides