Registry

Module Specifications

Archived Version 2023 - 2024

Module Title
Module Code
School
Online Module Resources
NFQ level	8	Credit Rating	7.5
Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

Description

This module offers a theoretical and practical introduction to the analysis of financial and actuarial data, with practical assignments based on the statistical language R. Students learn to estimate statistical properties of financial and actuarial data in the time series and the cross section, to make predictions based on ARIMA time-series techniques, and on back testing the performance of predictors. The module includes case-studies on portfolio optimization, estimation of extreme events probabilities, the construction of stock indexes, and the principal-component-analysis of commodities futures. The course involves the use of large datasets, downloading data on-the-fly from online repositories, and otherwise manipulating data in multiple formats.

Learning Outcomes

1. Analysis of Data
2. Model Design
3. Model Testing and Interpretation

*Type*	*Hours*	*Description*
Workload	Full-time hours per semester
Lecture	36	Classes
Independent Study	160	Independent work
Total Workload: 196

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

Assessment Breakdown
Continuous Assessment	%	Examination Weight	%

Type	Description	% of total	Assessment Date
Course Work Breakdown

Reassessment Requirement
Resit arrangements are explained by the following categories; 1 = A resit is available for all components of the module 2 = No resit is available for 100% continuous assessment module 3 = No resit is available for the continuous assessment component
Unavailable

Indicative Reading List

Other Resources

None

Programme or List of Programmes

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