COURSE UNIT TITLE

: SELECTED ADVANCED TOPICS IN QUANTITATIVE DATA ANALYSIS

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
IBS 4487 SELECTED ADVANCED TOPICS IN QUANTITATIVE DATA ANALYSIS ELECTIVE 3 0 0 5

Offered By

International Trade and Business (English)

Level of Course Unit

First Cycle Programmes (Bachelor's Degree)

Course Coordinator

ASSOCIATE PROFESSOR ERDOST TORUN

Offered to

International Business and Trade
International Trade and Business (English)

Course Objective

This course aims to provide a comprehensive and illustrated discussion on the advanced quantitative analysis approaches in foreign trade and finance. It is intended to prepare students for using econometrics in practice, and includes detailed case studies to help students understand how the techniques are applied in relevant foreign trade contexts.
The use of examples from data software helps students to learn how to implement their own advanced quantitative models and interpret results. These examples serve as a guide for students as they practice using advanced quantitative analysis and become familiar with the software. This allows students to gain a deeper understanding of how to apply the techniques in relevant contexts.

Learning Outcomes of the Course Unit

1   1. To be able to understand basic and key steps of collecting data
2   2. To be able to describe the key steps involved in building an advanced quantitative model to choose a suitable model for an empirical research project in quantitative analysis in finance
3   3. To be able to understand advantages and disadvantages of single equation and systems-based approaches to building models
4   4. To be able to use analysis software to construct and interpret models in advanced quantitative analysis in finance.
5   5. To be able to conducting empirical research or doing a project involving softare analysis of basic models.

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description
1 Effect of Structural Breaks and anomalies on fundamental relationship analysis-Crises in Foreign Exchange market.
2 Analysis of short/long run relationship among countries export-import volumes: mutltivariate cointegration analysis.
3 Analyses of short/long run relationship among countries export-import volumes: mutltivariate cointegration analysis.
4 Analysis of short/long run relationship among countries export-import volumes: mutltivariate cointegration analysis under the structural break assumptions.
5 Analysis of short/long run relationship among countries export-import volumes: mutltivariate cointegration analysis under the structural break
6 Effect of historical dynamics on long run relationship: Export/import Growth model analysis.
7 Sesonality and Regime shifts in foreign exchange markets
8 Sesonality and Regime shifts in foreign exchange markets
9 Advanced risk modelling in foreign exchange markets: Multivariate case
10 Advanced risk modelling in foreign exchange markets: Multivariate case
11 Trend extraction in foreign trade data - frequency analysis
12 Trend extraction in foreign trade data - frequency analysis
13 Effect of foreign exchange risk fluctuations on foreign trade: MIDAS analysis
14 Effect of foreign exchange risk fluctuations on foreign trade: MIDAS analysis

Recomended or Required Reading

1Lecture Notes.
2. Ruey S. Tsay, Analysis of Financial Time Series, 2 nd Ed. Willey, 2005
3. Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasi , T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
4. Brooks,C. Introductory Econometrics for Finance, Second Edition

Planned Learning Activities and Teaching Methods

1.Lectures
2.Class Discussions
3.Term Project

Assessment Methods

SORTING NUMBER SHORT CODE LONG CODE FORMULA
1 TP TermProject
2 ASS Assignment
3 FCG FINAL COURSE GRADE TP * 0.58 + ASS * 0.42


Further Notes About Assessment Methods

None

Assessment Criteria

THERE WILL BE 1 ASSIGNMENT AND 1 TERM PROJECT BASED ON DATA ANALYSIS METHODS IN THIS COURSE. Reading materials before attending the course is expected. The purpose of all assignments is to apply the theories and concepts discussed in class to the real world. Assignments will be prepared by groups (Up to 4 students).
The following scale will be used in the evaluation of all criteria. The criteria are presented with point values under the scale.
This criterion is not available or significantly below expectations and/or entirely irrelevant given the context. - Insufficient (0%)
This criterion is somewhat lacking and does not fully align with the context. - Mediocre (40%)
This criterion is satisfactorily developed and aligns with an acceptable standard in the context. - Good (60%)
This criterion is well-developed and professionally executed, fitting the context. - Very good (80%)
The development of this criterion is outstanding and fits the context perfectly. - Excellent (100%)
ASSIGNMENT CRITERIA USED FOR THE ASSESSMENT:
Research Question: (20 points)
Theory and Literature Review: (70 points)
Data Collection: (10 points)
CRITERIA USED FOR THE ASSESSMENT OF TERM PROJECT
Abstract and Introduction: (20 points)
Methodology: (10 points)
Explanation of Empirical (Estimation) Results: (20 points)
Discussion of Results based on Theory and Articles used in Literature Review Section: (20 points)
Policy Implications: (10 points)
Conclusions: (10 points)

Language of Instruction

English

Course Policies and Rules

1. Attending at least 70 percent of lectures is mandatory.
2. Plagiarism of any type will result in disciplinary action.

Contact Details for the Lecturer(s)

Doç.Dr.Erdost Torun
erdost.torun@deu.edu.tr

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours)
Lectures 14 3 42
Preparations before/after weekly lectures 12 6 72
Project Assignment 2 6 12
TOTAL WORKLOAD (hours) 126

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7PO.8PO.9PO.10PO.11PO.12PO.13PO.14PO.15
LO.14554
LO.2444
LO.34
LO.44
LO.54