This course is designed for students wishing to learn the basics on quantitative finance. The focus is on the use of statistical and econometric technques to gather information about the dynamics of financial data, such as interest rates, exchange rates, stock indexes, sovereign yields,etc. The participants to this course will also learn some basics practice about portfolio management. In this regard, econometric estimation of CAPM and factor models are presented, as well as models used to measure the risk of asset holding and portfolio management: regression analysis to estimate betas, ARCH-GARCH models, simple time series models, ACP models.

The course is based on both theoretical and operational approaches. All the notions are illustrated on real cases using GRETL. The student are encouraged to download GRET (free for both MACs and PCs) before classes start. Training exercises are also provided, as well as addtional resources (MOOCS, books) which will make participants feel comfortable during classes.

I wish you to enjoy your course.
Econométrie des Séries Temporelles. M. Aloy/C. Protopopescu
AMSE Master 1