

ORF 504/Fin 504: Financial Econometrics Spring Semester, 2019



Instructor. Weichen (Travis) Wang, Vice President of Two Sigma Investments. Email: weichenw@princeton.edu Precept: Arranged periodically by the AI if needed Assistants in Instruction (AIs):
Text Book:
Lectures are primarily based on the lecture notes and text book with the following references. Reference Books:
Computation: The software package for this class is R. See Rlabs below. Most of computation in this class can be done through a laptop. Laptops with wireless communication off can be used during the exams, and so are the calculators. Attendance: Attendance of the class is required and essential. The course materials are mainly from the notes. Many conceptual issues and financial econometrics thinking are only taught in the class. They will appear in the midterm and final exams. In addition, random quizzes will be used to check understanding and attendance. Homework: Problems will be assigned through blackboard, approximately biweekly. No late homework will be accepted (120 Sherred Hall has an InOut box for the class). Missed homework will receive a grade of zero. The homework will be graded, and each assignment carries equal weight. You are allowed to work with other students on the homework problems, however, verbatim copying of homework is absolutely forbidden. Therefore each student must ultimately produce his or her own homework to be handed in and graded. Exams: There will be one inclass midterm exam, and a final exam. All exams are required and there will be no makeup exams. Missed exams will receive a grade of zero. All exams are openbook and opennotes. Laptops with wireless off and calculators may be used during the exams.Schedules and Grading Policy: Homework (25%) ............................................................ Various due dates (5 sets) Midterm Exam (25%) ........................................ Tuesday, March 31, 2020 (5:00pm6:20pm, in class) Final Exam (45%) ............................................. Tuesday, May 19, 2020 (9:30am12:30pm, TBD) Class participation (5%) ............................................. class hours.
R
labs: The following files intend to help you familiar
with the use of Rlab commands.
Monthly DATA SETS


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