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Unit of study_

ECMT2130: Financial Econometrics

Semester 1, 2023 [Normal day] - Remote

This unit focuses on the financial models and econometric methods necessary to critically evaluate the risk and return characteristics of various fund-management strategies. Asset-pricing models and market efficiency are tested using econometric models that are popular in banking and finance, using industry-standard software. A core learning outcome is competency with that software. Students work with real and simulated data to specify, estimate, and test the linear regression models and the univariate time-series models that are at the core of the unit. The unit equips students with the conceptual framework and applied skills relevant to quantitative careers in finance and policy.

Unit details and rules

Unit code ECMT2130
Academic unit Economics
Credit points 6
Prohibitions
? 
ECMT2030
Prerequisites
? 
(ECMT2110 or ECMT2010 or ECMT1010 or BUSS1020 or MATH1005 or MATH1905 or DATA1001 or DATA1901 or ENVX1002) and (ECON1001 or ECON1040 or BUSS1040)
Corequisites
? 
None
Assumed knowledge
? 

None

Available to study abroad and exchange students

Yes

Teaching staff

Coordinator Andrew Wait, andrew.wait@sydney.edu.au
Lecturer(s) Sinan Deng, sinan.deng@sydney.edu.au
Type Description Weight Due Length
Monitored exam
? 
Final exam
Online exam
50% Formal exam period 2 hours
Outcomes assessed: LO1 LO2 LO3 LO4
Small test In-class Test 1
In-class test
15% Week 05
Due date: 20 Mar 2023 at 13:00
1 hour
Outcomes assessed: LO1 LO2 LO3 LO4
Small test In-class Test 2
In-class test
15% Week 10
Due date: 01 May 2023 at 13:00
1 hour
Outcomes assessed: LO1 LO2 LO3 LO4
Assignment group assignment Group Assignment
Group Assignment
20% Week 13 TBD
Outcomes assessed: LO1 LO2 LO3 LO4
group assignment = group assignment ?

Assessment summary

Detailed information for each assessment can be found on Canvas.

Assessment criteria

The University awards common result grades, set out in the Coursework Policy (Schedule 1).

As a general guide, a High Distinction indicates work of an exceptional standard, a Distinction a very high standard, a Credit a good standard, and a Pass an acceptable standard.

Result name

Mark range

Description

High distinction

85 - 100

 

Distinction

75 - 84

 

Credit

65 - 74

 

Pass

50 - 64

 

Fail

0 - 49

When you don’t meet the learning outcomes of the unit to a satisfactory standard.

For more information see sydney.edu.au/students/guide-to-grades.

For more information see guide to grades.

Late submission

In accordance with University policy, these penalties apply when written work is submitted after 11:59pm on the due date:

  • Deduction of 5% of the maximum mark for each calendar day after the due date.
  • After ten calendar days late, a mark of zero will be awarded.

Academic integrity

The Current Student website  provides information on academic integrity and the resources available to all students. The University expects students and staff to act ethically and honestly and will treat all allegations of academic integrity breaches seriously.  

We use similarity detection software to detect potential instances of plagiarism or other forms of academic integrity breach. If such matches indicate evidence of plagiarism or other forms of academic integrity breaches, your teacher is required to report your work for further investigation.

You may only use artificial intelligence and writing assistance tools in assessment tasks if you are permitted to by your unit coordinator, and if you do use them, you must also acknowledge this in your work, either in a footnote or an acknowledgement section.

Studiosity is permitted for postgraduate units unless otherwise indicated by the unit coordinator. The use of this service must be acknowledged in your submission.

Simple extensions

If you encounter a problem submitting your work on time, you may be able to apply for an extension of five calendar days through a simple extension.  The application process will be different depending on the type of assessment and extensions cannot be granted for some assessment types like exams.

Special consideration

If exceptional circumstances mean you can’t complete an assessment, you need consideration for a longer period of time, or if you have essential commitments which impact your performance in an assessment, you may be eligible for special consideration or special arrangements.

Special consideration applications will not be affected by a simple extension application.

Using AI responsibly

Co-created with students, AI in Education includes lots of helpful examples of how students use generative AI tools to support their learning. It explains how generative AI works, the different tools available and how to use them responsibly and productively.

WK Topic Learning activity Learning outcomes
Week 01 Introduction Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 02 Probability Basics Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 03 The Capital Asset Pricing Model (CAPM) Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 04 Time Series Basics Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 05 In-Class Test 1 Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 06 Exponential Smoothing Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 07 Autoregressive Integrated Moving Average 1 Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 08 Autoregressive Integrated Moving Average 2 Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 09 Autoregressive Conditional Heteroscedasticity Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 10 In-Class Test 2 Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 11 Generalised Autoregressive Conditional Heteroscedasticity Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 12 Deep Learning and Neural Networks Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 13 Review Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4

Attendance and class requirements

  • Attendance: According to Faculty Board Resolutions, students in the Faculty of Arts and Social Sciences are expected to attend 90% of their classes. If you attend less than 50% of classes, regardless of the reasons, you may be referred to the Examiner’s Board. The Examiner’s Board will decide whether you should pass or fail the unit of study if your attendance falls below this threshold.
  • Lecture recording: Lectures will be recorded and made available on Canvas.
  • Preparation: Students should commit to spend approximately three hours’ preparation time (reading, studying, homework, essays, etc.) for every hour of scheduled instruction.

Study commitment

Typically, there is a minimum expectation of 1.5-2 hours of student effort per week per credit point for units of study offered over a full semester. For a 6 credit point unit, this equates to roughly 120-150 hours of student effort in total.

Required readings

The recommended finance text is Chris Brooks, Introductory Econometrics for Finance, Cambridge.

Zvi Bodie, Alex Kane and Alan J. Marcus, Investments, ISE is used as an auxiliary reference for finance theory. Several copies are available electronically from the university library.

Wooldridge, Introductory Econometrics: A Modern Approach, is an auxiliary reference for linear regression.

Learning outcomes are what students know, understand and are able to do on completion of a unit of study. They are aligned with the University's graduate qualities and are assessed as part of the curriculum.

At the completion of this unit, you should be able to:

  • LO1. demonstrate an understanding of the basic principles and theories of financial economics
  • LO2. analyse and interpret financial data from diverse sources using economic and econometric models
  • LO3. select and utilise relevant techniques and principles to analyse risk and return characteristics of financial time-series data
  • LO4. compile and present relevant commercial information to decision-makers using appropriate data management and IT tools.

Graduate qualities

The graduate qualities are the qualities and skills that all University of Sydney graduates must demonstrate on successful completion of an award course. As a future Sydney graduate, the set of qualities have been designed to equip you for the contemporary world.

GQ1 Depth of disciplinary expertise

Deep disciplinary expertise is the ability to integrate and rigorously apply knowledge, understanding and skills of a recognised discipline defined by scholarly activity, as well as familiarity with evolving practice of the discipline.

GQ2 Critical thinking and problem solving

Critical thinking and problem solving are the questioning of ideas, evidence and assumptions in order to propose and evaluate hypotheses or alternative arguments before formulating a conclusion or a solution to an identified problem.

GQ3 Oral and written communication

Effective communication, in both oral and written form, is the clear exchange of meaning in a manner that is appropriate to audience and context.

GQ4 Information and digital literacy

Information and digital literacy is the ability to locate, interpret, evaluate, manage, adapt, integrate, create and convey information using appropriate resources, tools and strategies.

GQ5 Inventiveness

Generating novel ideas and solutions.

GQ6 Cultural competence

Cultural Competence is the ability to actively, ethically, respectfully, and successfully engage across and between cultures. In the Australian context, this includes and celebrates Aboriginal and Torres Strait Islander cultures, knowledge systems, and a mature understanding of contemporary issues.

GQ7 Interdisciplinary effectiveness

Interdisciplinary effectiveness is the integration and synthesis of multiple viewpoints and practices, working effectively across disciplinary boundaries.

GQ8 Integrated professional, ethical, and personal identity

An integrated professional, ethical and personal identity is understanding the interaction between one’s personal and professional selves in an ethical context.

GQ9 Influence

Engaging others in a process, idea or vision.

Outcome map

Learning outcomes Graduate qualities
GQ1 GQ2 GQ3 GQ4 GQ5 GQ6 GQ7 GQ8 GQ9

This section outlines changes made to this unit following staff and student reviews.

Some changes have been made since this unit was last offered.

Disclaimer

The University reserves the right to amend units of study or no longer offer certain units, including where there are low enrolment numbers.

To help you understand common terms that we use at the University, we offer an online glossary.