EC4024 Financial Economics 2011

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

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Module Outline

Tutorial Outline
Email Policy
UL’s Plagiarism & Referencing Policy

Peer Review Guidelines, Peer Review Guidelines one more time.

Data Project Guidelines,

Market Project Guidelines

Printed Coversheet (.doc),

Submission Template (.doc),

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)

  • Probability and Finance, It’s Only a Game, Chapter 1 (ebook)
  • Stephen Ross, Introduction to Finance, Chapters 1 and 2 (ebook)

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)

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)

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

Mar 30 Lecture 10:  Bond markets and bond pricing.

  • K. Pilbeam, Finance and Financial Markets, 3rd Ed, Palgrave, 2009, chapter 6.

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

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

Apr 13 Lecture 12: Presentations

Apr 20 Easter Break

Apr 27 Lecture 13: Presentations (if required)