Postgraduate

NBS8185 : MATLAB for Finance

Semesters
Semester 2 Credit Value: 10
ECTS Credits: 5.0

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

Please note that module leaders are reviewing the module teaching and assessment methods for Semester 2 modules, in light of the Covid-19 restrictions. There may also be a few further changes to Semester 1 modules. Final information will be available by the end of August 2020 in for Semester 1 modules and the end of October 2020 for Semester 2 modules.

Teaching Activities
Category Activity Number Length Student Hours Comment
Scheduled Learning And Teaching ActivitiesLecture32:006:00PIP lectures
Structured Guided LearningLecture materials61:006:00Pre-recorded lecture materials
Guided Independent StudyAssessment preparation and completion301:0030:00N/A
Guided Independent StudyAssessment preparation and completion119:0019:00N/A
Guided Independent StudyDirected research and reading331:0033:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching31:003:00Computer workshops using MATLAB (PIP)
Scheduled Learning And Teaching ActivitiesScheduled on-line contact time31:003:00Whole cohort online
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

Please note that module leaders are reviewing the module teaching and assessment methods for Semester 2 modules, in light of the Covid-19 restrictions. There may also be a few further changes to Semester 1 modules. Final information will be available by the end of August 2020 in for Semester 1 modules and the end of October 2020 for Semester 2 modules.

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
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.

Reading Lists

Timetable