FINN3071: Computational Quantitative Finance

• Corporate Finance (FINN2041) AND Financial Econometrics 1 (FINN2031)

• Security Investment Analysis (FINN3021)

• None

• To provide students with knowledge and understanding of questions in empirical finance linked to appropriate methodologies for their analysis.
• To enable students to rigorously explore issues in finance by using computer programming and professional data sources.
• To become familiar with the techniques for analysis employed in the quantitative finance industry and to evaluate the trading strategies used by market professionals.
• To provide students with the opportunity to develop the ability to critically evaluate academic literature relating to empirical and computational finance.
• To offer the opportunity to develop key skills.

• Introduction to empirical and computational finance
• Using 'R' (and/or similar, e.g. Matlab) with applications in finance: Syntax, data types and writing simple programs; Importing data and working with financial time series (including securities, foreign exchange and commodities); Plotting and visualisation of data; Loops and functions.
• Computing asset returns.
• Mean-variance portfolio theory, constructing portfolios and statistical analysis of portfolios.
• The nature of quantitative trading strategies.
• Implementing quantitative trading strategies, including: reversal/continuation; fundamental analysis methods; technical analysis methods.
• Evaluating and analysing performance of trading strategies.
• Algorithmic trading
• High frequency trading.
• The focus of the module is on undertaking empirical investigation of issues in finance rather than being centred on econometrics. However, econometrics will be used in an applied sense to provide rigorous support in evaluating results.

Subject-specific Knowledge:

• On completion of this module students should have:
• developed an advanced knowledge of the central issues in empirical finance;
• understanding of a programming language and its use to rigorously explore empirical issues in finance;
• understanding of how programs may be employed.

Subject-specific Skills:

• On completion of this module students should have:
• academic skill to analyse the role of computational analysis in financial markets;
• the ability to evaluate the usage of computational and empirical techniques by market professionals;
• developed skills to write and develop programs to evaluate empirical finance issues present in relevant academic literature;
• written programs to critically analyse trading strategies employed by market participants, such as technical analysis, considering factors such as risk and slippage;
• become skilled at advanced usage of professional finance data sources such as Bloomberg and Datastream and how to link these to appropriate software for analysis.

Key Skills:

• In addition, students will have had the opportunity to further develop the following key skills:
• written communication - through the formative and summative assignments;
• planning and organising - observing the strict assignment deadlines;
• problem solving - by applying appropriate analytical and quantitative skills to evaluate theoretical concepts using real data;
• initiative - by searching relevant literature, identifying recent developments in software packages and information in preparation of the summative assignment;
• numeracy - by analysing financial data;
• computer literacy - by writing complex programs to analyse financial data and evaluate trading systems. In addition, word-processing the assignments; downloading assignment information and notes from Learn Ultra.

• Teaching is by lectures and workshops.
• Learning takes place through attendance at lectures and participation in workshops, including independent study in solving assigned problems.
• Formative assessment is by means of an assignment. Feedback will be provided to each individual student which can then be built upon and developed for the summative coursework assignment. Written feeback and general suggestions will be communicated directly to students.
• Summative assessment is by means of two assignments designed around the development of programs and methodologies to analyse empirical problems and trading strategy issues, using data unique to each student.

If you have a question about Durham's modular degree programmes, please visit our FAQ webpages, Help page or our glossary of terms. If you have a question about modular programmes that is not covered by the FAQ, or a query about the on-line Undergraduate Module Handbook, please contact us.

Prospective Students: If you have a query about a specific module or degree programme, please Ask Us.

Current Students: Please contact your department.