Vær opmærksom på at dette website indeholder et arkiv med historiske data. Det aktuelle kursuskatalog findes på kursuskatalog.au.dk

AU kursuskatalog arkiv

[Forside] [Hovedområder] [Perioder] [Udannelser] [Alle kurser på en side]

4695: Advanced Programming in Quantitative Economics ( efterår 2010 - 5 ECTS )

Rammer for udbud

  • Uddannelsessprog: engelsk
  • Niveau:   COURSE LEVEL:  Elective project-based MSc/IMSQE course  
  • Semester/kvarter: Summer school, intensive one-week course from 23 - 27 August, 2010 (in 036/1325).  
  • Timer per uge:   NUMBER OF HOURS PER WEEK: 20 Lectures for one week.  
  • Deltagerbegrænsning:   RESTRICTIONS ON ADMISSION: Max of 20 students can participate  
  • Undervisningssted: Århus
  • Hovedområde: Det Samfundsvidenskabelige Fakultet
  • Udbud ID: 24546

Formål

 

LEARNING OBJECTIVES:

After having followed the course the students should be able to:

 

  • Formulate a computing problem related to economics and finance
  • Formulate the relevant research questions needing computing power
  • Formulate the necessary inputs and required outputs in relation to the computing problem
  • Formulate the computing exercise in (in-)dependent parts,
  • Derive and compare necessary computing algorithms,
  • Formulate a working version of the computations in a computer program, while evaluating the computing code against possible bugs.

 

Indhold

 

COURSE DESCRIPTION:

This course presents the steps needed for advanced programming in the quantitative fields of economics and finance, from the very concept of a calculation task, through the evaluation of necessary inputs, outputs, division in subtasks, to the final implementation. In this course the Ox programming language is used, and its concepts explained in detail, but conceptually the course will be relevant for any computer programming language. The course provides both theory and practice, switching between lecture and hands-on format. Around the Ox language, several packages, interfaces, and even links to Gauss and C are discussed.

 

The course is relevant for quantitatively oriented students with interests in econometrics, statistics, dynamic macro economics, and finance.

 

 

COURSE SUBJECT AREAS:

  1. What is programming?
  2. Structuring: From data, hypotheses, via model towards estimation
  3. Blocks/program flow
  4. Functions and variables, syntax in Ox
  5. Basics of object oriented programming
  6. Efficiency and algorithms
  7. Optimization of non-linear functions
  8. Econometrics in practics: Implementation of basic Econometric models
  9. Graphical output
  10. Optional: Links between Ox and C, Gauss

 

 

Faglige forudsætninger

 

REQUIRED COURSES (progression): 3620: Econometrics

 

Underviser

 

LECTURERS: Charles Bos, VU Amsterdam, and Henning Bunzel

Undervisnings- og arbejdsform

 

TEACHING METHOD: Classroom lectures and hands-on organised as a summer school in the week from 23.08.09 - 27.08.09

 

 

TEACHING LANGUAGE:   English

 

Litteratur

 

LITERATURE:

 

Doornik, J. A., and M. Ooms, 2006, Introduction to Ox, Timberlake consultants press (113 pages)

Course slides and notes

 

Bedømmelse

  • Hj.opg., bedømt efter 7-skala med intern censur
    • 5 xxxxx

 

 

FORM OF ASSESSMENT: Written report based on 1-week take-home exam.

 

EXAMINATION AIDS ALLOWED: All - except any means of electronic communication including calculators, mobile phones and PCs.