Target Group: This project (4 weekly contact hours, 5 ECTS credits) is open to Bachelor students from the BW, IM and IWI programs as well as ERASMUS guest students who are interested in learning more about risky assets, capital markets, trading and investing, and who are not scared to get started with a little bit of programming and data analytics.
Course language: English
Classroom Sessions: Always mondays, 2 pm to 5.10 pm, room tbd.
Assessment: You will work in groups of four to five students and analyze a portfolio of 10 assets based upon real historical data. We will have a midterm and a final presentation and you will write a final documentation of your weekly meetings and the project results. The grade will comprise of
- your final project report (40%)
- your final presentation (20%)
- your midterm presentation (20%)
- mandatory DataCamp assignments (20%)
Course Content: You will learn
- to upload and clean historical financial data ,
- to merge individual time series to a larger time series object and understand the notion of a weighted portfolio,
- to dynamically analyze volatility, beta and Sharpe Ratio with methods such as Simple Moving Averages (SMA), Exponentially Weighted Moving Averages (EWMA), Generalized Autoregressive Conditional Heteroskedasticity (GARCH),
- to forecast with ARIMA,
- to estimate Value-at-Risk (VaR) and Expected Shortfall (ES) with the Variance-Covariance Approach, Monte-Carlo Simulation and Historical Simulation, and
- to backtest your results.
All methods mentioned will be explained throughout the course!
- Dozent/in: Michael Feucht