本課程教學大綱已提供完整英文資訊(本選項僅供統計使用,未提供完整英文資訊者,得免勾記)【Provide information of course syllabus in English.(This is for statistical use only. For those who do not provide information of course syllabus in English, do not check this field.)】
1. Basics of international financial markets: foreign exchange (FX) bid-ask spread, triangular arbitrage, Purchasing Power Parity (PPP), inflation and real exchange rates; 2. Information asymmetry in financial markets: the Glosten-Milgrom (1985) model and the alternative Madhavan-Richardson-Roomans (1997) model for intra-day data; 3. Calculation of effective spread using daily (Roll 1984) and intra-day data (Corwin-Schultz 2012) 4. The forward price and Covered Interest Parity (CIP): the forward contract, the interest rate markets and other derivatives (futures, options and swaps); 5. The deviation of CIP after Global Financial Crisis (GFC) in 2008: recent empirical results and explanations 本課程一大特色為3次電腦上機實作課, 透過對實際金融 data數據(外匯價格, 股價與利率)的處理, 同學能練習包含三角套利, 價差估計以及對利率平價理論進行實證.
課程目標 Objectives
This course is intended to provide a comprehensive and critical review on international financial markets for students at master level. There are four learning objectives: (1) After the course, students will understand and can describe the functioning of spot FX markets, the interest rate markets and the forward and derivatives markets; (2) After the course, students can demonstrate the calculation of effective spread using daily and intra-day data, compare the empirical results with Glosten-Milgrom model and explain how/why the empirical results are consistent with theory; (3) After the course, students can evaluate critically the fundamental role of the Law of One Price (LOOP), apply it to the construction of Covered Interest Parity (CIP) and appraise the validity of CIP using recent FX and interest rate data; (4) Students will have many opportunities in practicing the learned models using real data, including detecting triangular arbitrage, estimating the proportion of informed traders and testing if CIP still holds after the financial crisis in 2008. 除了以上四個學習目標, 亦希望能協助碩士班同學在完成課程後, 能從相關的國際金融理論與實證研究發想論文主題.
參考書/教科書/閱讀文獻 Reference book/ textbook/ documents
〔請遵守智慧財產權觀念,不可非法影印。教師所提供之教材供學生本人自修學習使用,不得散播及做為商業用途〕
No copies for intellectual property rights. Textbooks provided by the instructor used only for self-study, can not broadcast or commercial use
序號
作者
書名
出版社
出版年
出版地
ISBN#
No.
Auther
Title
Publisher
Year of publish
Publisher place
ISBN#
1
Sercu P.
International Finance – Theory into Practice
Princeton University Press
2009
Princeton
9780691136677
2
Taylor S. J.
Asset Price Dynamics, Volatility, and Prediction,
Princeton University Press
2005
Princeton and Oxford
0691115370
3
Hull, J.
Options, Futures, and Other Derivatives, 10th Edition
Pearson Education
2018
New York
9780134472089
4
Bouchaud, J.-P., J. Bonart, J. Donier and M. Gould
Trades, Quotes and Prices - Financial Markets under the Microscope
Cambridge University Press
2018
Cambridge
9781107156050
彈性暨自主學習規劃 Alternative learning periods
本門課程是否有規劃實施學生彈性或自主學習內容(每1學分2小時)
Is any alternative learning periods planned for this course (with each credit corresponding to two hours of activity)?
否:教師需於「每週課程內容及預計進度」填寫18週課程進度(每1學分18小時之正課內容)。 No:The instructor will include an 18-week course plan in the weekly scheduled progress (each credit corresponds to 18 hours of instruction)
是:教師需於「每週課程內容及預計進度」填寫16週課程內容(每1學分16小時之正課內容),並於下列欄位填寫每1學分2小時學生彈性或自主學習內容。 Yes:The instructor will include a 16-week course plan in the weekly scheduled progress (each credit corresponds to 16 hours of instruction);the details of the planned alternative learning periods are provided below (each credit corresponds to two hours of activity).
學生彈性或自主學習活動 Alternative learning periods
勾選或填寫規劃內容 Place a check in the appropriate box or provide details
時數 Number of hours
學生分組實作及討論 Group work and discussion
參與課程相關作業、作品、實驗 Participation in course-related assignments, work, or experiments
參與校內外活動(研習營、工作坊、參訪)或競賽 Participation in on- or off-campus activities (e.g., seminars, workshops, and visits) or competitions
課外閱讀 Extracurricular reading
線上數位教材學習 Learning with online digital learning materials
其他(請填寫規劃內容) Other (please provide details)
每週課程內容及預計進度 Weekly scheduled progress
週次
日期
授課內容及主題
Week
Date
Content and topic
1
2022/09/04~2022/09/10
Basics of FX markets: bid-ask spread, triangular arbitrage and Purchasing Power Parity (PPP)
2
2022/09/11~2022/09/17
Basics of international financial markets: inflation and real exchange rates
3
2022/09/18~2022/09/24
Glosten-Milgrom model
4
2022/09/25~2022/10/01
Computer workshop 1
5
2022/10/02~2022/10/08
Glosten-Milgrom model and Madhavan-Richardson-Roomans (MRR) model
6
2022/10/09~2022/10/15
National holiday
7
2022/10/16~2022/10/22
Roll (1984) and Corwin-Schultz (2012) effective spread estimator
8
2022/10/23~2022/10/29
Midterm exam
9
2022/10/30~2022/11/05
Invited talk and computer workshop 2
10
2022/11/06~2022/11/12
Forward contract and interest rate markets
11
2022/11/13~2022/11/19
Forward contract and other derivatives (futures, options and swaps)
12
2022/11/20~2022/11/26
Covered Interest Parity
13
2022/11/27~2022/12/03
Computer workshop 3
14
2022/12/04~2022/12/10
Deviation of CIP after 2008: empirical evidence
15
2022/12/11~2022/12/17
Presentation
16
2022/12/18~2022/12/24
Final exam
17
2022/12/25~2022/12/31
Independent learning
18
2023/01/01~2023/01/07
Independent learning
課業討論時間 Office hours
時段1 Time period 1: 時間 Time:星期三13:00 - 15:00 地點 Office/Laboratory:CM3052 時段2 Time period 2: 時間 Time:星期四13:00 - 15:00 地點 Office/Laboratory:CM3052
系所學生專業能力/全校學生基本素養與核心能力 basic disciplines and core capabilitics of the dcpartment and the university
系所學生專業能力/全校學生基本素養與核心能力 basic disciplines and core capabilities of the department and the university
課堂活動與評量方式 Class activities and evaluation
本課程欲培養之能力與素養 This course enables students to achieve.
紙筆考試或測驗 Test.
課堂討論︵含個案討論︶ Group discussion (case analysis).
個人書面報告、作業、作品、實驗 Indivisual paper report/ assignment/ work or experiment.
群組書面報告、作業、作品、實驗 Group paper report/ assignment/ work or experiment.
個人口頭報告 Indivisual oral presentation.
群組口頭報告 Group oral presentation.
課程規劃之校外參訪及實習 Off-campus visit and intership.
證照/檢定 License.
參與課程規劃之校內外活動及競賽 Participate in off-campus/ on-campus activities and competitions.
課外閱讀 Outside reading.
※系所學生專業能力 Basic disciplines and core capabilities of the department
1.財務倫理之能力與社會責任實踐 1. Financial ethics ability.
2.國際觀之能力 2. Global perspective.
V
V
V
V
V
3.解決財務問題之能力 3. Problem solving ability in Finance.
V
V
V
V
V
4.溝通之能力 4. Communication skill.
V
V
V
5.財務管理專業知識之能力 5. Expertise in Financial management.
V
V
V
V
※全校學生基本素養與核心能力 Basic disciplines and core capabilities of the university
1.表達與溝通能力。 1. Articulation and communication skills
V
V
V
2.探究與批判思考能力。 2. Inquisitive and critical thinking abilities
V
V
V
V
3.終身學習能力。 3. Lifelong learning
4.倫理與社會責任。 4. Ethnics and social responsibility
5.美感品味。 5. Aesthetic appreciation
6.創造力。 6. Creativity
7.全球視野。 7. Global perspective
V
V
V
V
8.合作與領導能力。 8. Team work and leadership
V
V
V
9.山海胸襟與自然情懷。 9. Broad-mindedness and the embrace of nature
Internship: The required or elective courses should include credits and learning hours. Students should participate in the corporative company or institution to practice and learn the real skills. An internship certification must be handed in at the end of internship to get the credits or to fulfil the graduation requirements.