| Competences |
| Type A | Code | Competences Specific |
| A1 | Understand the financial system: they are familiar with the institutions, the products and markets of which it consists institutional relations and the economic environment. | |
| A8 | Use appropriate mathematical and statistical tools to analyze the major variables of the economic and financial system | |
| Type B | Code | Competences Transversal |
| B2 | Effective solutions to complex problems | |
| Type C | Code | Competences Nuclear |
| C2 | Be advanced users of the information and communication technologies | |
| C4 | Be able to express themselves correctly both orally and in writing in one of the two official languages of the URV |
| Learning outcomes |
| Type A | Code | Learning outcomes |
| A1 |
Sintetitza informació del mercats financers mitjançant l’ús d’un full de càlcul i interpretar-ne els resultats. Aplica a casos concrets els principals models de mercats financers. | |
| A8 |
Sintetitza informació del mercats financers mitjançant l’ús d’un full de càlcul i interpreta els resultats. Utilitza eines quantitatives per a l’anàlisi del comportament de dades financeres Aplica a casos concrets els principals models de mercats financers. | |
| Type B | Code | Learning outcomes |
| B2 |
Collect the information they need so that they can solve problems using data and not subjective opinion, and subjecting the information at their disposal to logical analysis. Find appropriate solutions. | |
| Type C | Code | Learning outcomes |
| C2 |
Use software for off-line communication: word processors, spreadsheets and digital presentations. | |
| C4 |
Produce well-structured, clear and rich written texts |
| Contents |
| Topic | Sub-topic |
| 1. INTRODUCTION | 1.1. Analysis and description of a data set 1.1.1. Graphical analysis: histograms 1.1.2. Quantitative analysis 1.2. Analysis of the relationship between variables |
| 2. ANALYSIS OF DATA ON RETURN AND RISK IN FINANCIAL MARKETS | 2.1. Return of an asset and a portfolio 2.1.1. Historical return 2.1.2. Expected return 2.1.3. The normality hypothesis applied to the return of an asset 2.2. Volatility of an asset and a portfolio 2.2.1. Historical volatility 2.2.2. Expected volatility 2.2.3. The instability of volatility: the cone of volatility 2.3. The Value-at-Risk 2.4. Performance measures (I): The Sharpe ratio |
| 3. ANALYSIS OF DATA ON EFFICIENCY IN FINANCIAL MARKETS | 3.1. The concept of efficiency in financial markets 3.2. Building an efficient portfolio 3.2.1. Solver in Excel 3.2.2. The optimal portfolio |
| 4. DATA ANALYSIS FOR MODELING IN FINANCIAL MARKETS | 4.1. Linear regression model 4.1.1. Simple linear regression model with Excel 4.1.2. Multiple Linear Regression Model with Excel 4.2. Application of linear regression models in market models 4.2.1. Relationship between the linear regression model and the Sharpe model 4.2.2. The instability of beta 4.2.3. Systematic and specific risk 4.3. Performance measures (II) 4.3.1. Treynor performance index 4.3.2. Jensen performance index |
| Planning |
| Methodologies :: Tests | ||||||||||
| Competences | (*) Class hours |
Hours outside the classroom |
(**) Total hours | |||||||
| Introductory activities |
|
2 | 0 | 2 | ||||||
| Lecture |
|
15 | 22.5 | 37.5 | ||||||
| Problem solving, exercises in the classroom |
|
5 | 7.5 | 12.5 | ||||||
| IT-based practicals in computer rooms |
|
30 | 60 | 90 | ||||||
| Personal attention |
|
3 | 0 | 3 | ||||||
| Practical tests |
|
5 | 0 | 5 | ||||||
| (*) On e-learning, hours of virtual attendance of the teacher. (**) The information in the planning table is for guidance only and does not take into account the heterogeneity of the students. | ||||||||||
| Methodologies |
| Description | |
| Introductory activities | Activities designed to make contact with students, collect information about them and present the subject. |
| Lecture | Description of the contents of the subject. |
| Problem solving, exercises in the classroom | Problems and exercises related to the subject are formulated, analysed, solved and debated. |
| IT-based practicals in computer rooms | Practical exercises related to the subject are formulated, analysed and solved with Excel. |
| Personal attention | Every lecturer has time set aside to attend students and respond to their queries. |
| Personalized attention |
| Description |
|
Every lecturer has time set aside to attend students and respond to their queries. |
| Assessment |
| Methodologies | Competences | Description | Weight | |||||
| IT-based practicals in computer rooms |
|
Throughout the semester, 2 theoretical-practical exams will be carried out in the computer room. The contents of the different exams are cumulative. | 30% (15% cada prueba) | |||||
| Practical tests |
|
Theoretical-practical exam that will take place on the official date of the first call. | 70% | |||||
| Others |
| Other comments and second exam session | |||
|
In the second call, the final mark will be 100% of the mark obtained in the exam carried out on the official date of the second call. |
|||
| Sources of information |
| Basic |
Población, J & Serna, G., Finanzas Cuantitativas Básicas, 2015, Paraninfo
Jimeno, J.P., Los Mercados Financieros y sus Matemáticas, 2012, Ariel
Guijarro, F., Introducción a las Finanzas Cuantitativas, 2015, Tirant Lo Blanch |
||||||||
| Complementary |
Pérez López, C., Estadística aplicada a través de Excel, 2002, Prentice Hall |
||||||||
| Recommendations |
| Subjects that it is recommended to have taken before | ||||
|
||||
(*)The teaching guide is the document in which the URV publishes the information about all its courses. It is a public document and cannot be modified. Only in exceptional cases can it be revised by the competent agent or duly revised so that it is in line with current legislation.