Timetable
Lectures: 36 hours; Classes: 12 hours.

Course Description
In this course we examine some of the practical issues in the forecasting of key financial market variables, such as asset prices, risk and correlation. We also discuss recent advances in the analysis of intra-day financial data. Throughout the course, the techniques will be applied to practical issues in financial decision-making, including asset allocation and risk management. The use of these forecasts in financial decision-making, such as asset allocation decisions, will also be examined. The course is quantitative in nature and makes use of a number of data sets and examples. Students use EViews and Excel in computer-based classes to apply the theory to real-world data. A background in basic statistics and basic financial economics is required, but little further prior knowledge is assumed. Topics to be covered include: Introduction to time series analysis (autocorrelations, ARMA models); Models of financial market volatility (GARCH); Forecast evaluation and comparison methods; Risk management & Value-at-Risk; Models of financial market correlations (multivariate GARCH); Forecasting using high frequency (intra-daily) financial data; Asset allocation decisions; Cointegration and pairs trading.

Course Fees
The tuition fees for the 2008 programme are: Reduced Student Fees: £1, 125 for one session or £1,900 for two sessions. This rate applies to all full time students who are currently enrolled at a University or College anywhere in the world. Standard Rate Fees: £1,450 for one session or £2,500 for two sessions. For those returning to the Summer School or LSE alumni, a 10% discount is offered.

Assessment method
Two written examinations

Entry Requirements
Introductory Statistics and either Introductory Microeconomics or Finance. A second course in statistics or econometrics would useful, but is not necessary.

Venue Description
Accommodation may be available to those undertaking certain learning opportunities and the institution will provide details. Childcare facilities are available on site. Early booking of sessions is strongly recommended due to high demand of limited places. Guidance and advice may be available for all aspects of student life. Facilities/Support are available for students with hearing impairment. Facilities/Support are available for students whose main language is not English. Facilities/Support are available for students with learning difficulties. Facilities/Support are available for students with restricted mobility. Facilities/Support are available for students with visual impairment.

Course Venue
Houghton Street
Camden
London
WC2A 2AE

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The Forecasting Financial Markets (Summer School) course in the UK information was verified on 21 Apr 2008.

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