Project Seminar: Finance with R

  • Teaching

    Details

    Faculty Faculty of Management, Economics and Social Sciences
    Domain Business Administration
    Code UE-EGE.00449
    Languages English
    Type of lesson Seminar
    Level Master
    Semester SP-2023

    Schedules and rooms

    Summary schedule Wednesday 15:15 - 18:00, Hebdomadaire (Spring semester)
    Hours per week 3

    Teaching

    Teachers
    • Wallmeier Martin
    Assistants
    • Chardonnens Patrick
    Description

    The goal of this course is to bridge the gap between understanding financial theories, models and concepts and implementing them using the R software of statistical computing. In the first part of the course, students will learn how to download financial data from Refinitiv Datastream and other sources, how to import data into R and how to create a tidy database. This part will also introduce important structural elements of R programs, such as functions and group-wise transformations. In the second part of the course, students will work on their own empirical project using R. The data will be individual to each student, but similar topics will be assigned to groups of students to allow and encourage cooperation. At the end of the course, students should be able to independently implement a project in R, e.g., as part of a master's thesis or later in practice.

    Training objectives

    Preliminary list of topics

    • Stylized facts of stock returns and calibration of GARCH models
    • Simulation of investment strategies and return distributions (e.g. momentum strategies; delta-hedged returns; volatility selling; portfolio insurance strategies)
    • Valuation of options and structured products with Monte Carlo Simulation
    • Forecasting of correlation matrices
    • Volatility forecasting
    • Stability of betas and beta forecasting
    • Fama-MacBeth two-step asset pricing tests (for potential pricing factors such as skewness, kurtosis or sustainability rating)
    • Evolution of financial ratios of sorted portfolios
    • Forecasting ROE / ROA (with cross-sectional and panel methods)
    Condition of access

    No prior knowledge of R is required for the course, although some programming experience and knowledge of R is beneficial.

    Comments

    Evaluation

    The evaluation will be based on the individual project (written presentation and code, 75%) and common group presentations (25%).

    Limited number of participants

    The number of students in this course is limited to 20. More advanced students are given priority. More information will be given in the first lecture.

    Softskills No
    Off field No
    BeNeFri Yes
    Mobility Yes
    UniPop No

    Documents

    Bibliography

    Wickham, H. & Grolemund, G., R for Data Science, O’Reilly 2017.

    Grolemund, G., Hands-On Programming with R, O’Reilly 2014.

    Brooks, C., Introductory Econometrics for Finance, 4th ed., Cambridge University Press 2019

  • Dates and rooms
    Date Hour Type of lesson Place
    22.02.2023 15:15 - 18:00 Cours PER 21, Room D230
    01.03.2023 15:15 - 18:00 Cours PER 21, Room D230
    08.03.2023 15:15 - 18:00 Cours PER 21, Room D230
    15.03.2023 15:15 - 18:00 Cours PER 21, Room D230
    22.03.2023 15:15 - 18:00 Cours PER 21, Room D230
    29.03.2023 15:15 - 18:00 Cours PER 21, Room D230
    05.04.2023 15:15 - 18:00 Cours PER 21, Room D230
    19.04.2023 15:15 - 18:00 Cours PER 21, Room D230
    26.04.2023 15:15 - 18:00 Cours PER 21, Room D230
    03.05.2023 15:15 - 18:00 Cours PER 21, Room D230
    10.05.2023 15:15 - 18:00 Cours PER 21, Room D230
    17.05.2023 15:15 - 18:00 Cours PER 21, Room D230
    24.05.2023 15:15 - 18:00 Cours PER 21, Room D230
    31.05.2023 15:15 - 18:00 Cours PER 21, Room D230
  • Assessments methods

    Evaluation continue - SP-2023, Session d'été 2023

    Assessments methods By rating
    Descriptions of Exams

    Course with continuous evaluation: after the registration period, you can no longer cancel your registration (see session calendar on the Faculty's website).

    Oral exam

    Assessments methods By rating
    Descriptions of Exams

    Wiederholungsmöglichkeit nur für die mündliche Prüfung. Eine Wiederholung der Projektarbeit, die im Rahmen dieses Seminars zu erstellen ist, ist faktisch nicht möglich.

  • Assignment
    Valid for the following curricula:
    BeNeFri - Sciences économiques et sociales
    Version: 2018/SP_V01_SES_BeNeFri
    Course > Master course offering for BeNeFri Students

    Complementary learnings in SES or mobility students
    Version: ens_compl_ses
    Mster course offering for Mobility Students

    Doc - Business Informatics
    Version: 20210713
    Elective courses > Wahlkurse UNIFR

    Doc - Economics
    Version: 2002/SA_V01
    Cours a choix > Wahlkurse UNIFR

    Doc - Economie quantitative
    Version: 2002/SA_V01
    Cours a choix > Wahlkurse UNIFR

    Doc - Management
    Version: 2002/SA_V01
    Cours a choix > Wahlkurse UNIFR

    Doc - Management in Nonprofit-Organisation
    Version: 2002/SA_V01_60ECTS Théoriques
    Elective courses > Wahlkurse UNIFR

    Doc - Sciences sociales
    Version: 2002/SA_V01
    Cours a choix > Wahlkurse UNIFR

    Doc - Sciences économiques et sociales
    Version: 2002/SA_V01
    Cours a choix > Wahlkurse UNIFR

    Ma - Accounting and Finance - 120 ECTS
    Version: 2024/SP_V01_DD_Caen
    UniFr courses > Modules "Data Analytics" and "Audit et Fiscalité": min. 2 courses > DAT: Data Analytics
    UniFr courses > Elective courses - Max 18 ECTS > SES Master level courses
    UniFr courses > Finance module: at least 2 of the core courses (see "Annexe 1" of the Convention) must be validated. > FIN: Finance > Coure courses

    Ma - Accounting and Finance - 90 ECTS
    Version: 2021/SA_V01 Dès SA-2024
    Course - 72 ECTS > Minimum 0 / maximum 1 optional master course offered at the University of Fribourg, if 72 ECTS not yet reached in the above modules > SES Master level courses
    Course - 72 ECTS > Modules "Data Analytics" and "Audit et Fiscalité": min. 3 courses > DAT: Data Analytics > Elective courses
    Course - 72 ECTS > Finance module: at least 3 of the core courses (see department website: https://www.unifr.ch/bwl/en/studies/master/master-in-accounting-and-finance.html) must be validated. > FIN: Finance > Coure courses

    Ma - Business Communication : Business Informatics - 90 ECTS
    Version: 2020/SA_V02
    Courses - 60 ECTS > Option Group > Information Management > Cours > Modules management > FIN: Finance
    Courses - 60 ECTS > Option Group > Information Management > Cours > Modules management > DAT: Data Analytics

    Ma - Business Informatics - 90 ECTS
    Version: 2020/SA-v01
    Classes - min. 45 ECTS > Modules management - max. 15 ECTS > DAT: Data Analytics
    Classes - min. 45 ECTS > Modules management - max. 15 ECTS > FIN: Finance

    Ma - Communication and Media Research - 90 ECTS
    Version: 2015/SA_V01
    Courses - 60 ECTS > Inter- and Transdisciplinary Perspectives > SES Master level courses

    Ma - Communication and Society - 90 ECTS
    Version: 2021/SA_V03
    Forschungsbereiche > Inter- & Transdisciplinary Perspectives

    Ma - Data Analytics & Economics - 90 ECTS
    Version: 2020/SA-v01
    Courses min 63 ECTS > Mandatory Modules (45 to 63 ECTS) > Module I: Data Analytics (Data)

    Ma - Economics - 90 ECTS
    Version: 2021/SA_V04
    Course selection for the Master WITHOUT options > Elective courses > Elective courses of the SES Faculty - max. 15 ECTS > SES Master level courses
    Le choix de l'option se fait par l'inscription au premier cours dans l'une des options possibles. > Business Economics > Elective courses in Business Economics > Wahlkurse der SES-Fakultät - max. 15 ECTS > SES Master level courses
    Le choix de l'option se fait par l'inscription au premier cours dans l'une des options possibles. > Business Economics > Option : Business Economics
    Le choix de l'option se fait par l'inscription au premier cours dans l'une des options possibles. > Sustainable Development and Social Responsibility > Elective courses in Sustainable Development and Social Responsibility > Elective courses of the SES Faculty - max. 15 ECTS > SES Master level courses
    Le choix de l'option se fait par l'inscription au premier cours dans l'une des options possibles. > Quantitative Economics
    Le choix de l'option se fait par l'inscription au premier cours dans l'une des options possibles. > Quantitative Economics > Elective courses in Quantitative Economics > Courses from the SES faculty - max. 15 ECTS > SES Master level courses
    Le choix de l'option se fait par l'inscription au premier cours dans l'une des options possibles. > Public Economics and Policy > Elective courses in Public Economics and Policy > Elective courses of the SES Faculty - max. 15 ECTS > SES Master level courses

    Ma - European Business - 90 ECTS
    Version: 2017/SA_v01
    Courses - 63 ECTS > Additional courses: Any Master courses of the Faculty of Economics and Social Sciences, as well as maximum 9 ECTS from all Master programmes of the University. > SES Master level courses
    Courses - 63 ECTS > Modules - Min one extra module with 12 ECTS > One complete module taken from the following list > FIN: Finance

    Ma - International and European Business - 90 ECTS
    Version: 2021/SA_v01 dès SA-2024
    Courses > Additional courses > SES Master level courses
    Courses > Modules > One complete module taken from the following list > DAT Module validation element group > DAT: Data Analytics > Elective courses
    Courses > Modules > One complete module taken from the following list > FIN Module validation element group > FIN: Finance > Coure courses
    Courses > Modules > Elective courses of the management modules > Elective courses of the management modules > Elective courses for the Master in management

    Ma - Management - 90 ECTS
    Version: 2021/SA_v03 dès SA-2024
    Courses: min. 72 ECTS > Modules - min 54 ECTS > Minimum of 3 modules with a minimum of 18 ECTS and 2 core courses > DAT Module validation element group > DAT: Data Analytics > Elective courses
    Courses: min. 72 ECTS > Modules - min 54 ECTS > Minimum of 3 modules with a minimum of 18 ECTS and 2 core courses > Module FIN validation element group > FIN: Finance > Coure courses
    Courses: min. 72 ECTS > Modules - min 54 ECTS > Elective courses taken outside a validating module > Elective courses in the management modules > Elective courses for the Master in management
    Courses: min. 72 ECTS > Elective courses > SES Master level courses

    Ma - Management - 90 ECTS [MA]
    Version: 2017/SA_v01
    Courses: min. 63 ECTS > Cours facultatifs : max. 18 ECTS > SES Master level courses
    Courses: min. 63 ECTS > 3 modules with min 12 ECTS each > FIN: Finance

    Ma - Marketing - 90 ECTS
    Version: 2021/V03 dès SA-2024
    Courses - 72 ECTS > Complementary module > DAT Module validation element group > DAT: Data Analytics > Elective courses
    Courses - 72 ECTS > Elective Master courses from the whole university > SES Master level courses

    MiMa - Business Informatics - 30 ECTS
    Version: 2020/SA_V01
    Cours > Modules management > FIN: Finance
    Cours > Modules management > DAT: Data Analytics

    MiMa - Gestion d'entreprise - 30 ECTS
    Version: 2021/SA_V01
    Elective courses - 30 ECTS > DAT: Data Analytics
    Elective courses - 30 ECTS > FIN: Finance