Financial econometrics and quantitative finance
The Quantitative Finance and Econometrics refers to concepts and techniques required in the statistical analysis and modelling of financial and other types of markets, risk management, model calibration, and derivatives pricing. In particular, it focuses on simulation techniques in finance, financial optimisation, credit risk, financial econometrics, and market design issues.
Research in this area is mainly concerned with issues involving empirical finance, econometrics, and time series forecasting. In particular, the research aims to investigate return predictability, testing for market efficiency, capital market integration, and realised beta and volatility estimation. It combines quantitative methods and financial data to test for established or new financial theories. The major research topics include financial market efficiency, financial return predictability, contagion, financial volatility, risk management, and option pricing.