Applied Finance
Applied Finance
Lecturer: Dr. Ming Guo
Assisstant Professor in Finance
Peking University Shenzhen Business School
Tel: 26032004
Email: guom@szpku.edu.cn
Textbooks (Required):
Grinold, R.C. and R.C. Kahn, Active Portfolio Management, McGraw-Hill. 2006
References:
Campbell, J. Y., A. W. Lo, and A. C. Mackinlay, The Econometrics of Financial Markets, Princeton University Press, 1997
ALEXANDER, C. Market Models: A Guide to Financial Data Analysis, John Wiley & Sons, 2001
HULL, J. C., Options, Futures and Other Derivative Securities, Prentice-Hall, 2006
Rosenberg, M. R., Currency Forecasting: a Guide to Fundamental and Technical Models of Exchange Rate Determination，Chicago: Irwin, 1996
H. Geman, Commodities and Commodity Derivatives: Agriculturals, Metals and Energy, Wiley Finance, 2005
Gotthelf, P., Precious Metals Trading: How to Profit from Major Market Moves, John Wiley & Sons, 2005
Garbade, K.D., Fixed Income Analysis, MIT Press
江恩，威廉 D., 如何从商品期货交易中获利，机械工业出版社, 2007
迈吉，约翰，股市心理博弈，机械工业出版社, 2007
Course Objectives
The goal of this course is to help students to apply their knowledge in finance, economics, and statistics to real world investment as well as to improve their understanding of various financial markets. Investments are both an art and a science. The art of investing is evolving into the science of investing. The course covers topics related to quantitative investment, which relies on analysis, process, and structure of data and qualitative information in a systematic fashion. The students will be exposed to both theories and real world data. They will learn the commonly used trading strategies in various financial markets. They are expected to grasp the basic ideas and methods of constructing and evaluating trading strategies.
Course Grade
Class Participation, Presentation, and Group Projects (3) 40%
Term paper 40%
Final 20%
A group of 4 to 5 students will be formed to do 3 group projects using real world data. Each group is required to present once in class. Every student must participate in the group presentation. A presentational material should consist of about 15 ppts and last for about 20 minutes (15 minutes presentation and 5 minutes questions and answers). Each member of the group will be evaluated according to his individual performance as well as his group performance.
Course Outlines
1. Overview of Financial Market
l Introduction to various asset classes, such as equity, fixed income, commodity, foreign exchange, real estate, and their derivatives
l Efficient Market Hypothesis: the conflicted views of academia and industrial professionals
2. Theoretical Backgrounds of Quantitative Analysis
l Mathematics and statistics backgrounds
l Finance backgrounds
3. Market Microstructure and Liquidity
This part covers some basic theories and corresponding empirical tests in market microstructure.
4. Active Portfolio Management
l Forecasts and signals
l Risk management
l Control of trading costs
5. Equity
This part covers the basic quantitative trading strategies, risk models, and the analysis of transaction costs for equity markets.
6. Fixed Income and Commodity Markets
This part covers macro analysis, basic quantitative trading strategies, and others for these two markets.
7. Foreign Exchange
This part covers the determination and forecasting of foreign exchanges, the widely used trading strategies, such as carry trades, and others.
8. Financial Derivatives
This part covers the pricing of derivatives, the basic trading strategies, and others.
9. Investment Vehicles
This part covers the introduction to mutual funds, hedge funds, and private equities, and topics such as the evaluation of fund performance, risk attribution, and etc.
10. China’s Financial Markets
This part covers some initial analysis of China’s financial markets.