NBS8185 : MATLAB for Finance
- Offered for Year: 2024/25
- 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 |
|---|---|---|---|---|---|
| Guided Independent Study | Assessment preparation and completion | 30 | 1:00 | 30:00 | N/A |
| Scheduled Learning And Teaching Activities | Lecture | 7 | 2:00 | 14:00 | PIP lectures |
| Guided Independent Study | Assessment preparation and completion | 1 | 20:00 | 20:00 | N/A |
| Guided Independent Study | Directed research and reading | 33 | 1:00 | 33:00 | N/A |
| Scheduled Learning And Teaching Activities | Small group teaching | 3 | 1:00 | 3:00 | PIP computer workshops using MATLAB |
| Total | 100:00 |
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 |
|---|---|---|---|---|
| Report | 2 | M | 100 | 2000 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 exercises | 2 | M | Computer 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.
Reading Lists
Timetable
- Timetable Website: www.ncl.ac.uk/timetable/
- NBS8185's Timetable