This undergraduate elective is designed for undergraduates in Economics, Statistics, Mathematics, Data Science, and IEOR who are interested in financial economics and econometric methods as applied to financial data. After reviewing important econometric concepts, the course will discuss the short-run time series behavior of stock prices and present the evidence on short- and long-run predictability of stock returns. We will then consider cross-sectional models and static equilibrium theory, including the Capital Asset Pricing Model and Arbitrage Pricing Theory, and intertemporal equilibrium models, including Arrow-Debreu pricing theory and the consumption-based CAPM. Finally, the course will introduce models of volatility and correlation.

Repeat Rules

Course is not repeatable for credit.