Securities Statistical Analysis

Course No.: SMJ2221113    Credit(s): 2

Course Description

Securities statistical analysis is an application course that applies statistical methods to financial statistics financial securities market. The course insists on linking theory with practice, with case teaching as the mainstay, opening up the thought and vision of securities investment analysis. The main contents include: securities market fundamentals, summary of statistical methods in securities investment, descriptive statistics in securities investment, inference statistics in securities investment, securities time series analysis, financial asset pricing theory and model, measure of VaR( value at risk), the introduction of Options futures derivative securities and so on.

Course Learning Outcomes

It aims to enable students to make clear the objects and characteristics of securities statistical analysis, to master the basic principle and basic process of securities statistical analysis. In the practical work, they can on the basis of financial and securities industry statistics, analyze statistical regularity of the securities market and financial market, deepen our understanding of financial statistics market, understand the characteristics of the common financial derivatives.

Relationship to Other Courses

The prerequisite for this course is Statistics, Probability Theory and Mathematical Statistics and Economics.

Textbook and Reading Lists

Textbook:

Guoxiang Xu, Securities Analysis (1st edition). Science Press, 2007.12.

Suggested reading lists:

Hongmei Liu, Financial statistics. Shanghai University of Finance and Economics Press, 2005.

Marc Lore & Lev Borodovsky, Buttenworth and Heinemann, Financial Risk Management. 2000.

Yanyun Zhao, Financial Statistics Analysis. China Renmin University Press, 2000.12.

Guanhui Song, Financial statistics. China Statistics Press, 2002

William. Sharp, Investment Science. China Renmin University Press, 2000.

John Hull，Options, Futures, and Other Derivatives (7th Edition). 2008.5.

Course Assessment

Course Schedule