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.
Week 1: Markets, Models, and Data
- Class 0: Organization of the Class Slides
- Class 1: Financial Markets Amidst Covid-19. Slides
- Class 2: Financial Data and Empirical Estimations. Slides
- Class 3: Optimal Risk-Taking in Theory. Slides
- Student Presentions: China's Capital Markets for Global Investors. Data
- Class 4: Modern Finance and its Impact to the Real World. Slides
- Class 5: Alpha, Beta, and the CAPM. Slides
Week 2: Cross-Sectional Equity
- Student Presentions: Performance Evaluation of China's Mutual Funds. Data1 Data2
- Class 6: Equity Quant Investing: Approach and Insight. Slides
- Class 7: Financial Models in Quant Investing: CAPM and Beyond. Slides
- Student Presentions: Equity Quant Investing in China.
- Class 8: Equity Quant Investing in Practice. Slides
- Class 9: International Equity Markets and Currency Carry Trade. Slides
Week 3: Time-Series Equity and Options
- Student Presentions: Quant Investing with Machine Learning.
- Class 10: Predicting Stock Market Returns and Market Efficiency. Slides
- Class 11: Estimating Market Volatility. Slides
- Student Presentions: Understanding the Fear Gauge. Data
- Class 12: Option Pricing and Stock Market Crashes. Slides
Week 4: Fixed Income
- Student Presentions: Option Pricing in China.
- Class 14: The US Treasury Market and Its Monetary Policy. Slides
- Student Presentions: Monetary Policy in China.
- Class 13: The Bond Math, Yield and Duaration. Slides
- Class 15: Factors Influencing the Yield Curve. Slides
Week 5: Banks, Financial Institutions, and Corporate Defaults
- Student Presentions: China's Bond Market as Safe Haven for Global Investors?
- Class 16: Risk Management for Banks and Financial Institutions. Slides
- Student Presentions: Estimating the Financial Systemic Risk of Ant Group.
- Class 17: Corporate Bonds and Credit Pricing. Slides
Week 6: China's Financial System, Markets, and Institutions
- Student Presentions: Corporate Defaults and Credit Pricing in China.
- Class 18: China's Financial System, Markets, and Institutions. System Bond Credit
- Student Presentions: FinTech Platforms for Household Finance.
- Class 19: China's FinTech and Asset Management. Slides