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					     BSc (Hons) Econometrics and Quantitative Finance (F/T) – SH303

1.   Objectives

     This course will appeal to the mathematically minded. This degree provides students with the
     analytical and discursive skills of a well-trained economist with a focus on econometric and
     quantitative finance analysis. Market research, management services and government economic and
     statistical services are obvious fields of employment, along with banking and other financial
     institutions.

2.   General Entry Requirements

     In accordance with the University General Entry Requirements for admission to undergraduate
     degree Programmes.

3.   Programme Requirements

     Credit in Mathematics and English at ‘O’ Level and
     At least a B in Mathematics at HSC Advanced Level

4.   Programme Duration
                                    Normal                    Maximum
     Degree:                        3 years                   5 years

5.   Minimum Credits Required for Degree Award – 103

     Breakdown as follows:

                                                     Credits from
                    Core Taught Modules         Dissertation            Electives   SUPERGEM


        Degree                78                      10                   9             6


          Modules                                   Credits
          Core
          Economics                                   69
          Statistics                                   6
          Computer Science and Engineering             3
          Dissertation in Economics                   10
          Electives
          Accounting                                   3
          Economics                                    6
          SUPERGEM                                     6
          Total                                       103

6.   Credits per Year

     Minimum 18 credits, Maximum 48 credits, subject to regulation 4 above.




                                                1
7.   Assessment

     Each module can either be taught in semester 1 only or in semester 2 only or throughout the two
     semesters.

     Modules wholly taught in one semester are termed semester modules whereas modules taught
     throughout two semesters are termed yearly modules.

     Each module will be assessed over 100 marks with details as follows (unless otherwise specified):

     Assessment will be based on a written examination of 2 to 3-hour duration (normally a paper of 2
     hour duration for modules carrying less or equal to three credits, 2½ hour paper for modules carrying
     3.5-4.5 credits and 3 hour paper for modules carrying five-six credits) and on continuous assessment
     done during the semester or year.

     Written examinations for all modules, whether taught in semester 1 or in semester 2 or both, will be
     carried out at the end of the academic year, except for GEMs and D.E. modules (unless otherwise
     stated).

     The continuous assessment will count for 20-30% of the overall percentage mark of the module(s),
     except for a Programme where the structure makes for other specific provision(s).

     Continuous assessment may be based on laboratory work, seminars and/or assignments and should
     include at least two (2) assignments/tests per module. There will be a compulsory class test for all
     modules taught in semester 1 at the end of semester 1 of the given academic year unless stated
     otherwise in the Programme Structure.

     Special examinations (e.g. class tests) will be arranged at the end of semester 1 or semester 2 for
     exchange students who have registered only for one semester. In case of yearly modules, credits will
     be assigned on a pro-rata basis.

8.   Submission Deadline for Dissertation

     Final copy: To be submitted on the last working day of March of the academic year.

9.   List of Modules – BSc (Hons) Econometrics and Quantitative Finance
     Code                   Module Name                                      Hrs/Wk       Credits
                                                                              L+P
     CORE MODULES

     ECON 1005Y(1)          Introduction to Economic Analysis                  3+0            6
     ECON 1002Y(1)          Mathematics for Economists                         3+0            6
     STAT 1001Y(1)          Statistics for Economists                          3+0            6
     ECON 1008Y(1)          Introduction to Econometrics Software              3+0            6
     ECON 1212(1)           Principles of Financial eEconomics                 3+0            3
     CSE 1010e(1)           Introduction to Information Technology             O.E.           3
     ECON 2001Y(3)          Microeconomic Theory                               3+0            6
     ECON 2002Y(3)          Macroeconomic Theory                               3+0            6
     ECON 2018Y(3)          Principles of Quantitative Finance                 3+0            6
     ECON 2019Y(3)          Investment Analysis and Management                 3+0            6
     ECON 2003Y(3)          Principles of Econometrics                         3+0            6
     ECON 3002Y(5)          Times Series Econometrics                          3+0            6
     ECON 3017Y(5)          Cross Section and Panel Data Econometrics          3+0            6
     ECON 3018Y(5)          Advanced Quantitative Finance                      3+0            6
     ECON 3000(5)           Dissertation                                        -            10


                                                  2
      ELECTIVES

      ECON 2004Y(3)         Money, Banking and Finance                      3+0           6
      ECON 2020Y(3)         Experimental Methods in Economics               3+0           6
      ECON 3262(5)          Public Finance                                  3+0           3
      ECON 3231(5)          International Finance                           3+0           3
      ECON 3181(5)          Risk Management                                 3+0           3
      ECON 3131(5)          Investment Analysis                             3+0           3
      Note: Offering of electives would be subject to availability of resources and critical mass. The
           Department reserves the right to offer additional electives).

10.   Programme Plan - BSc (Hons) Econometrics and Quantitative Finance

                                               YEAR 1
      Code                  Module Name                                  Hrs/Wk       Credits
                                                                          L+P
      CORE
      ECON 1005Y(1)         Introduction to Economic Analysis              3+0           6
      ECON 1002Y(1)         Mathematics for Economists                     3+0           6
      ECON 1008Y(1)         Introduction to Econometrics Software          3+0           6
      STAT 1001Y(1)         Statistics for Economists                      3+0           6
      CSE 1010e(1)          Introduction to Information Technology         O.E.          3
      ECON 1212(1)          Principles of Financial Economics              3+0           3

      SUPER GEM                                                                          6
                                               YEAR 2
      Code                  Module Name                                  Hrs/Wk       Credits
                                                                          L+P
      CORE
      ECON 2001Y(3)         Microeconomic Theory                           3+0           6
      ECON 2002Y(3)         Macroeconomic Theory                           3+0           6
      ECON 2018Y(3)         Principles of Quantitative Finance             3+0           6
      ECON 2019Y(3)         Investment Analysis and Management             3+0           6
      ECON 2003Y(3)         Principles of Econometrics                     3+0           6

      ELECTIVES             CHOOSE ONE
      ECON 2004Y(3)         Money, Banking and Finance                     3+0           6
      ECON 2020(3)          Experimental Methods in Economics              3+0           6
                                             YEAR 3
      Code                  Module Name                                  Hrs/Wk       Credits
                                                                          L+P
      CORE
      ECON 3002Y(5)         Times Series Econometrics                      3+0            6
      ECON 3017Y(5)         Cross Section and Panel Data Econometrics      3+0            6
      ECON 3018Y(5)         Advanced Quantitative Finance                  3+0            6
      ECON 3000(5)          Dissertation                                    -            10

      ELECTIVES             CHOOSE ONE
      ECON 3262(5)          Public Finance                                 3+0           3
      ECON 3231(5)          International Finance                          3+0           3
      ECON 3181(5)          Risk Management                                3+0           3

                                                    3
11.    Outline Syllabus

ECON 1005Y(1) – INTRODUCTION TO ECONOMIC ANALYSIS
Tools of Economic Analysis. Consumer Choice and Applications. Production and Costs: Technology, Cost
Functions and Cost Curves. Factor Market Analysis. Competitive Markets, Monopoly and Monopoly
Behavior, Oligopoly, Introduction to Game Theory. Market Failures and Externalities.
The Keynesian Model of National Income Determination. Theories of Consumption, Savings and
Investment. Money and Banking. Monetary Policy. General Equilibrium and Comparative Statics in the
IS-LM Model. Inflation and Unemployment: The AD-AS Model, Expectations and the Phillips Curve. BoP,
Exchange Rates and General Equilibrium in the Open Economy.

ECON 1002Y(1) - MATHEMATICS FOR ECONOMISTS
Linearity, Elasticity and Simultaneous Relationships. Limit Theorem, Optimisation Techniques. Lagrange
Multipliers. Euler’s Theorem. Homogeneous Relationships. Specific Utility and Production Functions.
Integration.
Dynamic Relationships. Difference and Differential Equations of First and Second Orders. Stability Tests.
Matrix Algebra. Eigenvalues and Eigenvectors. Input- Output Matrix. The Hessian. Linear Programming.
Simplex Algorithm.

ECON 1008Y(1) – INTRODUCTION TO ECONOMETRICS SOFTWARE
Introduction to R - Objects and Variables, vectors, matrices, lists and data frames, data input and output,
vectorized operations, indexing, writing functions, for-loops, condictional loops, tables and graphics;
Introduction to Stata - Opening Files, Saving Files, Log Files, Controlling output, Using Descriptive
Commands Creating new variables, Sort and By Commands, Cross tabulations; Introduction to SHAZAM

STAT 1001Y(1) - STATISTICS FOR ECONOMISTS
Collection, Organisation and Presentation of Data. Averages. Sample Designs and Surveys. Dispersion and
Skewness. Probability. Index Numbers. Time Series Analysis. Correlation and Regression.
Probability Distributions. Statistical Inference. Estimation and Tests of Hypotheses: the case of Mean,
Proportion, Difference between Means and Proportions, Variance. The Chi-squared Distribution and
Goodness of Fit. Inference with respect to Correlation and Regression.

CSE 1010e(1) - INTRODUCTION TO INFORMATION TECHNOLOGY
IT and Computers; Stepping in the Computer; Input and Output Devices; Secondary Storage; Programming;
Systems Software; Applications Software; Systems Development; Computer Networks; The Internet;
Computer Security; Software Utilities; Issues and Trends in IT.

ECON 1212(1) - PRINCIPLES OF FINANCIAL ECONOMICS
An overview of Financial Markets; Capital Markets; Time value of money; Introduction to concepts of risk
and return; understanding opportunity sets; efficient frontier; and minimum variance portfolio; CML;
introduction to asset pricing models; SML; the Efficient Market Hypothesis; Introduction to Bonds
valuation; introduction to financial derivatives.

ECON 2001Y(3) - MICROECONOMIC THEORY
Topics in Consumer Theory: Utility Maximisation , Demand, Slutsky Equation, Revealed Preference and
Duality, Applications. Theory of Production and Costs. Factor Market Analysis. Market Structure:
Competitive Markets and Monopoly.
Choice under Uncertainty and Applications. Game Theory and Applications. Oligopoly and Strategic
Behaviour. Markets with Asymmetric Information: Moral Hazard and Adverse Selection. Principal-Agent
Models and Optimal Incentive Schemes. General Equilibrium and Welfare Economics. Externalities and
Public Goods.




                                                    4
ECON 2002Y(3) - MACROECONOMIC THEORY
Introduction to General Equilibrium Model. IS-LM under a Government Budget Constraint. Theories of
Consumption and Savings. Theories of Investment. Government Spending and Borrowing. Mundell-Fleming
Model. Exchange Rate Models.
Rational Expectations. Policy Ineffectiveness Proposition. Lucas Critique. Supply. Side Recommendations.
Further Aggregate Demand and Aggregate Supply Analysis. Central Bank Independence. Theories of
Business Cycle. Growth Models.

ECON 2018Y(5) - PRINCIPLES OF QUANTITATIVE FINANCE
Time Value of Money, Annuities, Loans and Amortizations, Fixed Income Products, Bonds, Yield, Duration
and Convexity, General Cash Flows and Portfolios, Immunization, Introduction to Derivatives: Options,
Forwards, Futures, Swaps, Caps and Floors, Hedging Strategies, Life Insurances and Contingent Annuities,
Introduction to Numerical Methods in Finance.

ECON 2019Y(3)- INVESTMENT ANALYSIS AND MANAGEMENT
Portfolio Theory; Capital Asset Pricing Model; Fama and French Three Factor Model; Arbitrage Pricing
Theory; Levels of Market Efficiency: Tests and Empirical Evidence; Technical and Fundamental Analysis;
Stock Market Anomalies; Mutual Fund Performance; Attribution Analysis: Asset Allocation and Market
Selection; Market Microstructure; the Stock Exchange of Mauritius; Bonds Valuation: Convexity and
Duration

ECON 2003Y(3) - PRINCIPLES OF ECONOMETRICS
Classical Linear Regression Model: Hypothesis Testing. Multiple Regression Analysis. Breakdown of
Assumptions: Heteroskedasticity, Serial Correlation, Multicollinearity, Measurement Errors, Endogeneity.
Dummy Variables. Simultaneous Equation Models: Identification and Estimation Methods, Time Series
Models: Distributed Lag Models, Unit Root Tests, Cointegration, and Error-Correction Models, Granger
Causality, Introduction to VAR Modelling. Computer Applications.

ECON 2004Y(3) - MONEY, BANKING AND FINANCE
Money. Money Demand and Money Supply Analysis. Principles of Financial Intermediation. Banking.
Interest Rates. Financial Markets. Regulation. Central Banking. International Banking. Monetary Policy.
Transmission Mechanism Models. Mauritian Financial System and Development.
Investment Decisions - Choice under Uncertainty. Term Structure of Interest Rates. Asset Pricing Models
and Applications. Security Valuation. Market Efficiency and Market Anomalies. Portfolio Analysis. The
Mauritius Stock Exchange.

ECON 2020Y (3)-EXPERIMENTAL METHODS IN ECONOMICS
Introduction: Economics goes to the laboratory (who, what, when and why); Experimental Methods: First
Principles Induced Value, Experimental Design, Running a Laboratory Session, Dialogue with the Data;
Games Theory Experiments: Dilemma Games, Sequential Games, Coordination Games, Matrix Games;
Market Experiments: Auctions, Money, Money Illusion and Monetary Theory, Credit Constraints, Inflation
Uncertainty; Risk Aversion: Contingent, Biases; Experimental Design Session- MUDA, Z-Tree

ECON 3002Y(5) – TIMES SERIES ECONOMETRICS
Stationary Time-Series: Univariate (ARMAX) and Multivariate (VAR); Box-Jenkins Approach;
Autocorrelation Function; Impulse Response; Econometric Forecasting; Forecast Evaluation; Forecast
Combination. Non-stationary Time Series: Univariate (ARIMAX) and Multivariate (VECM); Unit root tests;
Integration; Cointegration and Error-Correction; Granger Causality; Weak Exogeneity Conditional Volatility
Models: ARCH, GARCH; Introduction to Regime-switching Models: TAR, SETAR

ECON 3017Y(5) – CROSS SECTION AND PANEL DATA ECONOMETRICS
Binary Choice Models: Linear Probability Model; Binomial Probit Model; Binomial Logit Model. Multiple
Discrete Choice Models: Ordered Probit Model; Ordered Logit Model; Bivariate and Multinomial Probit.
Limited Dependent Variables: Truncated and Censored Samples, The Tobit Model; Selectivity (Heckit)
Model; The Double Hurdle Model. Duration and Survival Analysis: The Concepts of Duration and Survival;
Parametric Hazard and Survival Functions. Panel Data Model: Fixed Effects and Random Effects; Discrete
Choice Panel Data Models; Dynamic and Non-Linear Panel Data Methods. Estimating cross section and
panel data regressions in STATA.

                                                    5
ECON 3018Y (3)-ADVANCED QUANTITATIVE FINANCE
Pricing of Derivatives, The Binomial Model, The Black-Scholes Model, Option Greeks, Monte Carlo
Simulation, Partial Differential Equations in Finance, Introduction to Ito Calculus, Term Structure of Interest
Rates, Interest Rate Models: The Vasicek Model, The Black-Derman-Toy Binomial Model, More Numerical
Procedures in Finance.

ECON 3000(5) - DISSERTATION
At the end of the third year of the programme, the students will be required to submit a project dissertation.
The title of the dissertation has to be approved by the Department of Economics and Statistics and a Project
Supervisor identified by the Programme Co-ordinator. The dissertation length should be in the range of
8000–12000 words.

ECON 3231 (5) – INTERNATIONAL FINANCE
The International Monetary System; The Balance of Payments; The International Parity Conditions;
International Banking System; Financing of International Trade; Project Finance; Internal Techniques of
Exposure Management; External Techniques of Exposure Management; Foreign Currency Options.

ECON 3181 (5) –RISK MANAGEMENT
Sources and Types of Risk: Hedging Techniques. Foreign Exchange Markets. Foreign Exchange Exposure.
International Techniques of Managing Forex Risk: Forward and Futures Markets. Swaps. Interest Rate
Currency and Commodity Swaps. Commodity Futures. Options and Risk Management

ECON 3262(5) - PUBLIC FINANCE
Externalities. Public Goods. Analysis of Social Security. Growth of Government Expenditure and Taxation.
Social Choice and Arrow’s Impossibility Theorem. Inter-governmental Fiscal Relations. Public Utilities.
Theories of Tax Incidence. Taxation of Financial and Real Assets.




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posted:9/13/2012
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