# NBS8185 : MATLAB for Finance

• Offered for Year: 2023/24
• Module Leader(s): Professor Robert Sollis
• Owning School: Newcastle University Business School
• Teaching Location: Newcastle City Campus
##### Semesters

Your programme is made up of credits, the total differs on programme to programme.

 Semester 2 Credit Value: 10 ECTS Credits: 5.0 European Credit Transfer System

#### Aims

This module aims to provide students with a detailed understanding of how the computer software MATLAB can be used for advanced empirical analysis in finance. MATLAB is one of the main computer programming languages used by quantitative analysts in investment banking research and risk management. For students interested in working in these areas, completing a module on MATLAB will be very helpful.

#### Outline Of Syllabus

The module will cover a range of statistical/mathematical techniques relevant to financial economists and quantitative analysts, including regression analysis, volatility modelling, portfolio optimization, and Value at Risk (VaR). Students will be taught how to write the relevant MATLAB code to implement these techniques. A summary of the main topics is given below.

1. Introduction and MATLAB basics
2. Time series models
3. Linear regression models
4. Volatility models
5. Asset allocation
6. Value at Risk

#### Teaching Methods

##### Teaching Activities
Category Activity Number Length Student Hours Comment
Scheduled Learning And Teaching ActivitiesLecture72:0014:00PIP lectures
Guided Independent StudyAssessment preparation and completion120:0020:00N/A
Guided Independent StudyAssessment preparation and completion301:0030:00N/A
Guided Independent StudyDirected research and reading331:0033:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching31:003:00PIP computer workshops using MATLAB
Total100:00
##### Teaching Rationale And Relationship

•       Lectures provide detail on the methods and theories that are introduced and an overview of the relevant issues.
•       Computer classes provide an opportunity to enhance understanding of the methods and the theoretical aspects of the module.

#### Assessment Methods

The format of resits will be determined by the Board of Examiners

##### Other Assessment
Description Semester When Set Percentage Comment
Report2M1002000 word limit.
##### Formative Assessments

Formative Assessment is an assessment which develops your skills in being assessed, allows for you to receive feedback, and prepares you for being assessed. However, it does not count to your final mark.

Description Semester When Set Comment
Prob solv exercises2MComputer assessments provided
##### Assessment Rationale And Relationship

An applied project in which the students have to use MATLAB to undertake a series of tasks will allow the learning outcomes to be assessed.