國立中山大學 110學年度第2學期 課程教學大綱
National Sun Yat-sen University 110Academic year Course syllabus
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中文名稱 Course name(Chinese) |
金融數據分析與交易策略 |
課號 Course Code |
FM614 |
英文名稱 Course name(English) |
PRACTICE IN FINANCIAL DATA ANALYSIS AND TRADING STRATEGIES |
課程類別 Type of the course |
講授類 | 必選修 Required/Selected | 選修 |
系所 Dept./faculty |
財務管理學系碩士班 |
授課教師 Instructor |
蔡秉真
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學分 Credit |
3 |
因應嚴重特殊傳染性肺炎(武漢肺炎),倘若後續需實施遠距授課,授課方式調整如下: |
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因應嚴重特殊傳染性肺炎(武漢肺炎),倘若後續需實施遠距授課,評分方式調整如下: |
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1.midterm:25% 2.final:25% 3.computer workshop:40% 4.in-lecture performance:10%
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課程大綱 Course syllabus |
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課程目標 Objectives |
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This graduate course will serve to apply time-series methods to a wide range of financial data, with special attention paid to the volatility and jumps of asset prices. After this course, students will have a thorough understanding about the key role of volatility in asset pricing, as well as its stochastic nature (i.e. the distinction between ARCH-type and stochastic volatility models). Students will also be familiar with several estimation procedures, including maximum likelihood estimation and the Kalman filter.
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授課方式 Teaching methods |
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Lecturing and computer workshop
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評分方式﹝評分標準及比例﹞Evaluation (Criteria and ratio)等第制單科成績對照表 letter grading reference
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1.midterm:25% 2.final:25% 3.computer workshop:40% 4.in-lecture performance:10%
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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
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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 | Stephen J. Taylor | Asset Price Dynamics, Volatility, and Prediction | Princeton University Press | 2005 | New Jersey | 978-0-691-13479-6 |
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彈性暨自主學習規劃 Alternative learning periods
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每週課程內容及預計進度 Weekly scheduled progress |
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週次 | 日期 | 授課內容及主題 | Week | Date | Content and topic | 1 | 2022/02/13~2022/02/19 | Introduction to financial data: stylized facts | 2 | 2022/02/20~2022/02/26 | ARCH-type models I: ARCH and GARCH | 3 | 2022/02/27~2022/03/05 | ARCH-type models II: EGARCH and GJR-GARCH | 4 | 2022/03/06~2022/03/12 | ARCH-type models III: FIEGARCH and computer workshop 1 | 5 | 2022/03/13~2022/03/19 | Stochastic Volatility (SV) models I: introduction | 6 | 2022/03/20~2022/03/26 | SV models II: 2-state Markov Chain volatility model | 7 | 2022/03/27~2022/04/02 | SV models III: Standard SV models and Kalman Filter | 8 | 2022/04/03~2022/04/09 | Computer Workshop 2 and review | 9 | 2022/04/10~2022/04/16 | Midterm exam | 10 | 2022/04/17~2022/04/23 | High-frequency methods I: Intraday-ARCH and CARR model | 11 | 2022/04/24~2022/04/30 | High-frequency methods II: testing for price jumps | 12 | 2022/05/01~2022/05/07 | High-frequency methods III: linear Hawkes process | 13 | 2022/05/08~2022/05/14 | Computer workshop 3 | 14 | 2022/05/15~2022/05/21 | Option-implied volatility and risk-neutral density (RND) | 15 | 2022/05/22~2022/05/28 | Option-implied volatility and risk-neutral density (RND) | 16 | 2022/05/29~2022/06/04 | Dragon-boat holiday | 17 | 2022/06/05~2022/06/11 | final exam | 18 | 2022/06/12~2022/06/18 | Computer workshop 4 (optional) |
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課業討論時間 Office hours |
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時段1 Time period 1: 時間 Time:星期一13:00-15:00 地點 Office/Laboratory:CM3052 時段2 Time period 2: 時間 Time:星期三13:00-15:00 地點 Office/Laboratory:CM3052
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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 |
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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 | 3.解決財務問題之能力 3. Problem solving ability in Finance. | V | V | | V | | | | | | | | 4.溝通之能力 4. Communication skill. | V | 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 | V | | | V | V | | | | | | V | 7.全球視野。 7. Global perspective | | | | | | | | | | | | 8.合作與領導能力。 8. Team work and leadership | V | | | | V | | | | | | | 9.山海胸襟與自然情懷。 9. Broad-mindedness and the embrace of nature | | | | | | | | | | | |
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本課程與SDGs相關項目:The course relates to SDGs items: |
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本課程校外實習資訊: This course is relevant to internship: |
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