Master Seminar of Data Science and Finance
The seminar in data science and finance will take place during the summer semester. In this seminar, the students will first learn about empirical finance and programming languages, with a focus on R. Then, groups of 3-5 students will use their knowledge to propose and test return predictors and factor models in different countries.
The seminar will include some lectures with the following contents.
- Introduction to asset pricing
- Empirical finance
- Asset pricing models
- Introduction to R (installation, packages, IDE)
- Working with data (importing, data cleaning, formatting, exporting)
- Implementation of empirical finance in R (estimating return predictors, forming portfolios, estimating equal- and value-weighted returns of portfolios).
- Asset pricing and performance measurement in R.