D_KMFA Quantitative Methods of Financial Analysis

University of Finance and Administration
Winter 2020
Extent and Intensity
1/1/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
Teacher(s)
doc. Ing. Diana Bílková, Dr. (lecturer)
doc. Ing. Stanislava Mildeová, CSc. (lecturer)
Guaranteed by
doc. Ing. Diana Bílková, Dr.
Department of Computer Science and Mathematics – Departments – University of Finance and Administration
Contact Person: Ivana Plačková
Prerequisites
Mathematical knowledge within the higher education mathematics is a prerequisite of mastering the content of the course.
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
Correct application of quantitative methods in the field of finance and financial analysis.
Learning outcomes
Knowledge of more advanced statistical methods related to financial indicators and financial time series. The ability of working with financial data.
Syllabus
  • Course contains thematic areas: Model and genetic concept of quantitative methods and role of models of financial phenomena and processes; Most important essential classifications of financial and economic indicators; Comparative methods of values ​​of financial indicators; Methods of modeling and measurement of volatility and concentration in the financial sector; Some probability distributions of random variables and their functions; Modeling of correlation, regression equations systems, correlation, association and contingency analysis; Hypothesis testing; Modeling of dynamic series of values of financial indicators and methods of financial analysis of these series; Methods of research of the trend and periodicity; Methods of analysis of correlation dependences of dynamic series.
Literature
    required literature
  • DARLINGTON, Richard B. a HAYES, Andrew F. Regression Analysis and Linear Models: Concepts, Applications and Implementation. New York: The Guilford Press, 2017. 660 s. ISBN 978-1-4625-2113-5.
  • LAI, Tze Leung a XING, Haipeng. Statistical Models and Methods for Financial Markets. New York: Springer, 2008. 354 s. ISBN 978-0-387-77826-6.
  • CLIFFORD, Ang S. Analyzing Financial Data and Implementing Financial Models Using R. Chicago: Springer, 2015. 351 s. ISBN 978-3-319-14074-2.
  • HILBER, Norbert, REICHMANN, Oleg, SCHVAB Chistoph a WINTER, Christoph. Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing. New York: Springer, 2013. 299 s. ISBN 978-3-642-43532-4.
  • ENGLE, Robert, F. Volatility and Time Series Econometrics. Oxford: Oxford University Press, 2010. 419 s. ISBN 978-0-19-954949-8.
  • JOHNSON, Norman L., KOTZ,Samuel a BALAKRISHNAN, Narayanaswamy. Continuous Univariate Distributions: Volume 1. New York: John Wiley & Sons, 1994. 760 s. ISBN 0-471-58495-9.
  • SHUMWAY, Robert H. a STOFFER, David S. Time Series Analysis and Its Applications with R Examples. New York: Springer, 2017. 28 s. ISBN 978-3-319-52451-1.
  • TSAY, Ruey S. Multivariate Time Series Analysis: With R and Financial Applications. New Jersey: John Wiley & Sons, 2014. 492 s. ISBN 978-1-118-61790-8.
  • OHNSON, Norman L., KOTZ,Samuel a BALAKRISHNAN, Narayanaswamy. Continuous Univariate Distributions: Volume 2. New York: John Wiley & Sons, 1995. 724 s. ISBN 0-471-58494-0.
  • KLEIBER, Christian a KOTZ Samuel. Statistical Size Distributions in Economics and Actuarial Sciences. New Jersey: John Wiley & Sons, 2003. 337 s. ISBN 0-471-15064-9.
    recommended literature
  • KREJČÍ, Igor a Roman KVASNIČKA. Systémová dynamika I. V Praze: Česká zemědělská univerzita, Provozně ekonomická fakulta, 2014. ISBN 978-80-213-2478-7.
  • GROS, Ivan a Jakub DYNTAR. Matematické modely pro manažerské rozhodování. 2., upr. a rozš. vyd. Praha: Vysoká škola chemicko technologická v Praze, 2015. ISBN 978-80-7080-910-5.
  • MOLNÁR, Zdeněk. Pokročilé metody vědecké práce. Zeleneč: Profess Consulting, 2012. Věda pro praxi (Profess Consulting). ISBN 978-80-7259-064-3.
Teaching methods
Lessons are held in the form of lectures and discussions of the literature studied. It is associated with an active creative work of student as result in the form of a seminar paper according to instructions of the teacher.
Assessment methods
The course ends with an examination in the form of seminar paper - article (e.g . subchapter of doctoral thesis), in which some quantitative method of financial analysis will be correctly applied.
Language of instruction
Czech
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
Credit evaluation note: nekreditový předmět.
Teacher's information
Study materials contain extended methodological materials including supplementary study literature. Teachers: doc. Ing. Diana Bílková, Dr.; doc. Ing. Stanislava Mildeová, CSc.
The course is also listed under the following terms Summer 2010, Winter 2010, Winter 2011, Winter 2012, Winter 2013, Winter 2014, Winter 2015, Winter 2016, Winter 2017, Winter 2018, Winter 2019, Winter 2021, Winter 2022, Winter 2023, Winter 2024.
  • Enrolment Statistics (Winter 2020, recent)
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