EC4024 Financial Economics 2011

This is the module page for EC4024, Financial Economics, Spring 2011.

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Lectures and Readings.

Slides and handouts will be up before lectures, and recordings will be up after the lectures, obviously.

Jan 26 Lecture 1: Data, terminology, theory, and `the market'. (Slides)

M.F.M Osborne, The Stock Market from a Physicist’s Viewpoint, Crossgar Press, 1977 Chapters 2 and 3.
J. L. McCauley. Dynamics of Markets: Econophysics and Finance from a Physicist’s Standpoint. Cambridge University Press, 2009, Chapters 1 and 2

Feb 2 Lecture 2: Guest lecture: Vincent O'Sullivan, Macroeconomics, Finance, and Regulation.(Slides)

Reading: TBA

Feb 9 Lecture 3: Probability and stochastic processes.(Slides)

Feb 16 Lecture 4: Zombie theories of finance.(Slides)

Anne Villamil, Modigliani Miller Theorem, New Palgrave Dictionary of Economics, link.
André F. Perold The Capital Asset Pricing Model The Journal of Economic Perspectives, Vol. 18, No. 3. (Summer, 2004), pp. 3-24.
Martin A. Leibowitz, Alpha Hunters and Beta Grazers, Financial Analysts Journal, Vol. 61, No. 5, pp. 32-39, September/October 2005

Feb 23 Lecture 5: Fat tailed finance or: what happens when things go very wrong.(Slides)

B. Mandelbrot and R. Hudson. The (Mis)Behaviour of Markets, Basic Books, 2004, ebook in UL Library.
NN Taleb, What Caused the 2008 Crisis? Collected Technical Papers, 2011.
NN Taleb, Errors, Robustness, and the Fourth Quadrant, International Journal of Forecasting, 2009, 25(4), 744-759, also in Collected Technical Papers, 2011.
Aaron Clauset, Cosma Rohilla Shalizi, M. E. J. Newman [0706.1062] Power-law distributions in empirical data, SIAM Review 51, 661-703 (2009)
LA Adamic Zipf, Power-law, Pareto - a ranking tutorial

Mar 2 Lecture 6: Finance without Probability Theory, Project 1 Due. (Slides)

Shafer, G. and Vovk, V. Probability and Finance: It’s only a game! Wiley (ebook), Chapters 1, 9
"The game-theoretic Capital Asset Pricing Model", by Vladimir Vovk and Glenn Shafer (March 2002): pdf

Mar 9 Lecture 7: Dealing with uncertainty: Info-gap approaches to finance.(Slides)

Yakov Ben-Haim, 2010, Info-Gap Economics: An Operational Introduction, Palgrave, Chapters 1 and 2, ebook in Library
Yakov Ben-Haim, 2008, Info-gap economics: An overview. Presented in part at the Research Forum on "Risk and Uncertainty in Monetary Policy", Centre for Central Bank Studies, Bank of England, London, 9-11 June 2008. pdf preprint.

Mar 16 Lecture 8: EMU and Ireland: Macro-Finance perspectives.(Slides)

Philip Lane and Patrick Honohan, Exchange Rates and Inflation under EMU: An Update, Economic Policy web essay, 2004.
Carlo Altavill and Paul De Grauwe (2010): Forecasting and combining competing models of exchange rate determination, Applied Economics, 42, 3455-3480
Paul De Grauwe (2009): The Fragility of the Eurozone’s Institutions, Open Economies Review, 21 (1), pp.167-174
De Grauwe, P. (2006): Flaws in the design of the Eurosystem, International Finance, 9:1, pp.137-144.

Mar 23 Lecture 9: Banking and crises: Minsky strikes back.

The ECB's Balance Sheet.
Patrick Honohan: Bank Failures: The Limits of Risk Modelling
Richard Koo, The Holy Grail of Macroeconomics. Lessons from Japan's Great Recession, Wiley Press, 2009, ebook in Library
Hyman Minsky, “Stabilizing an Unstable Economy” , McGraw Hill, 1986[2005], ebook in Library
Stephen Kinsella, Financial Fragility and Corporate Governance in Ireland, in Ronan Keane and Ailbhe O’Neal, (eds), Corporate Governance: An Irish Perspective, Roundhall Press, 2009 pgs. 147-170. Draft version here.
Stephen Kinsella (2010) “Cycles, Crises, and Uncertainty’, in Kinsella and Leddin, Understanding Ireland’s Economic Crisis, ebook in Library

Mar 30 Lecture 10: Bond markets and bond pricing.

Apr 6 Lecture 11: Theories of the exchange rate. Project 2 due.

K. Pilbeam, Finance and Financial Markets, 3^rd Ed, Palgrave, 2009, chapters 5, 7.

Apr 13 Lecture 12: Presentations

Apr 20 Easter Break

Apr 27 Lecture 13: Presentations (if required)

Stephen Kinsella