LEARNING OUTCOMES
In this course we learn about the functioning of financial markets and how hedge funds and other sophisticated investors trade in stocks, bonds, foreign exchange and commodities to generate abnormal returns. We start by examining the existing theory of how financial markets work and later look how it relates to investors' quantitative trading rules and optimal portfolio management. By the end of the course the students will be able show detailed understanding of the theory of financial markets under perfect and under imperfect information and how this theory applies to finding investment opportunities with abnormal returns in practice.
Credits: 6
Schedule: 28.02.2022 - 12.04.2022
Teacher in charge (valid for whole curriculum period):
Teacher in charge (applies in this implementation): Matti Suominen, Aleksi Pitkäjärvi
Contact information for the course (applies in this implementation):
CEFR level (valid for whole curriculum period):
Language of instruction and studies (applies in this implementation):
Teaching language: English. Languages of study attainment: English
CONTENT, ASSESSMENT AND WORKLOAD
Content
valid for whole curriculum period:
Financial markets under perfect information: risk aversion and portfolio choice. Dynamic hedging and pricing of redundant assets. Financial markets under imperfect information: supply and demand for risky assets under imperfect information. Liquidity provision in financial markets. The course looks at the modern theory of financial markets and the empirical evidence related to the phenomena discussed. It shows how the financial marlet imperfections lead to predictability in securities returns that hedge funds utilize. We rationalize several of the common quantitative trading strategies that hedge funds use.
Assessment Methods and Criteria
valid for whole curriculum period:
1. Lectures 24 h, class participation (10%)
2. Exercises
3. Final exam (90%), or alternatively an extensive individual project
Workload
valid for whole curriculum period:
Lectures 24 h
Class preparation 48 h
Exercise preparation 50 h
Exam preparation 36 h
Exam 4 h
DETAILS
Study Material
valid for whole curriculum period:
Material provided by the lecturer
Substitutes for Courses
valid for whole curriculum period:
Prerequisites
valid for whole curriculum period:
SDG: Sustainable Development Goals
1 No Poverty
8 Decent Work and Economic Growth
FURTHER INFORMATION
Further Information
valid for whole curriculum period:
This course is truly advanced. For a hard working student it offers access to deeper understanding of financial markets and sophisticated tools in trading and portfolio management.
Teaching Period:
2020-2021 Spring IV
(2021, 2022) - No teaching
Course Homepage: https://mycourses.aalto.fi/course/search.php?search=28E00300
Registration for Courses: In the academic year 2021-2022, registration for courses will take place on Sisu (sisu.aalto.fi) instead of WebOodi.
The course is offered to BIZ students only.
A maximum of 70 students can be accepted to the course.
- Students at Aalto Finance M.Sc. programme (i.e. who have graduated as B.Sc.) will be guaranteed a seat on Finance M.Sc. courses. Finance M.Sc. students re-taking the course (grade already registered in WebOodi) will not be prioritized and can participate only if there are places remaining.
- CEMS students are similarly guaranteed a seat for Finance M.Sc. courses, which have been designated as CEMS courses.
Remaining seats are prioritized as follows:
1. Finance M.Sc. exchange students from other universities
2. Aalto Finance B.Sc. students with a finished B.Sc. thesis (registered in transcript of records)
3. All other M.Sc. students at the School of Business.
Please follow carefully the registration deadlines of the courses and exams! Missing registration deadline automatically foregoes a guaranteed seat for Finance M.Sc. courses and puts prospective student at the bottom of the prioritization list.
- Teacher: Pitkäjärvi Aleksi
- Teacher: Suominen Matti