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COURSE INFORMATION
Course CodeCourse TitleL+P HourSemesterECTS
SER 152-MODELLING IN FINANCIAL MARKETS3 + 07th Semester4

COURSE DESCRIPTION
Course Level Bachelor's Degree
Course Type Elective
Course Objective -The main aim of this lesson is to help students develop and evaluate time series, classic linear, semi logarithmic and logarithmic regression models.
Course Content -Micro Economic Models, Macro Economic Models, Time Series Patterns; Time Series Analysis and Models, The identification of trend, examples, Time Series Models, Static equation, dynamic equation, unit root, moving average MA equation, autoregressive AR equation, ARMA Autoregressive moving average, Autoregressive integrated moving average ARIMA , Data creation process; Static and Dynamic Stochastic Processes; Random walk process, Autoregressive processes AR (q), Moving average process MA (q);Autoregressive moving average ARMA (pq), Dynamic process model ARIMA (pdq) and the examples will be discussed as the main topics during the semester.
Prerequisites No the prerequisite of lesson.
Corequisite No the corequisite of lesson.
Mode of Delivery Face to Face

COURSE LEARNING OUTCOMES
1Interprets the estimation techniques
2Synthesises the time series analysis techniques related
3Distinguishes the time series analysis of issues relating

COURSE'S CONTRIBUTION TO PROGRAM
PO 01PO 02PO 03PO 04PO 05PO 06PO 07PO 08PO 09PO 10
LO 001    5 5   
LO 002    5 5   
LO 003    5 5   
Sub Total    15 15   
Contribution0000505000

ECTS ALLOCATED BASED ON STUDENT WORKLOAD BY THE COURSE DESCRIPTION
ActivitiesQuantityDuration (Hour)Total Work Load (Hour)
Course Duration (14 weeks/theoric+practical)14342
Hours for off-the-classroom study (Pre-study, practice)14456
Mid-terms122
Final examination144
Total Work Load

ECTS Credit of the Course






104

4
COURSE DETAILS
 Select Year   


 Course TermNoInstructors
Details 2019-2020 Fall2SERKAN DURMAZ


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Course Details
Course Code Course Title L+P Hour Course Code Language Of Instruction Course Semester
SER 152 -MODELLING IN FINANCIAL MARKETS 3 + 0 2 Turkish 2019-2020 Fall
Course Coordinator  E-Mail  Phone Number  Course Location Attendance
Lecturer SERKAN DURMAZ serkand@pau.edu.tr ÇMYO A0063 %70
Goals -The main aim of this lesson is to help students develop and evaluate time series, classic linear, semi logarithmic and logarithmic regression models.
Content -Micro Economic Models, Macro Economic Models, Time Series Patterns; Time Series Analysis and Models, The identification of trend, examples, Time Series Models, Static equation, dynamic equation, unit root, moving average MA equation, autoregressive AR equation, ARMA Autoregressive moving average, Autoregressive integrated moving average ARIMA , Data creation process; Static and Dynamic Stochastic Processes; Random walk process, Autoregressive processes AR (q), Moving average process MA (q);Autoregressive moving average ARMA (pq), Dynamic process model ARIMA (pdq) and the examples will be discussed as the main topics during the semester.
Topics
WeeksTopics
1 Introduction to model Index
2 The capital asset pricing model
3 Arbitrage pricing model
4 Time Series Models
5 The Unit Root testing
6 Moving Average MA equation
7 Autoregressive AR Equation
8 ARMA Autoregressive Moving Average Equation
9 Exam week
10 Random walk process
11 Time Series Patterns
12 Microeconomic Models
13 Macroeconomic Models
14 ADF test
Materials
Materials are not specified.
Resources
Course Assessment
Assesment MethodsPercentage (%)Assesment Methods Title
Final Exam60Final Exam
Midterm Exam40Midterm Exam
L+P: Lecture and Practice
PQ: Program Learning Outcomes
LO: Course Learning Outcomes