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Econometric Applications in Economic and Finance
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The course focuses on complete time series analysis: description, modeling, estimation and forecasting, as well as simulation. In detail, topics include: Stationary Time Series Models, Parameter Estimation, Diagnostics and Forecasting, Analysis of Non-Stationary Time Series (unit root problem, concept of cointegration, error correction models, with applications to financial and macroeconomic series). Variable Bound Variance (properties of financial series, ARCH, GARCH, EGARCH models, properties of models, applications to financial series).
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6 ECTS |
- Applications of Analytical Methods of Business Finance and Strategy
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The course deals with applied topics using analytical methods in microeconomics and macroeconomics-finance, and is organized in 2 parts:
Part 1 - Macroeconomics/Investments: Factor Analysis and forecasts of macroeconomic quantities, direct forecasts (nowcasting), macroeconomic forecasts with big data bases and machine learning methods, evaluation of alternative methods of macroeconomic forecasts and investments, simulation of macroeconomic models and investment strategies, presents the Z- score evaluations and credit risk assessment methods, as well as stress tests.
Part 2 - Microeconomic topics: Experimental design of alternative products/services, empirical decision-making models, revealed preference discrete choice data analysis, stated preference data analysis, scenario-based choice/demand/market share simulation, segmentation, designing preference data collection tools.
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6 ECTS |
Indicative list of elective courses
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The elective courses offered each year are decided by the General Assembly of the Department and are mentioned in the study guide of each academic year. *You must attend 3 (three) elective courses |
- Behavioral Economics
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The first part of the course focuses on behavioural theory, which includes decision theory, behavioural game theory with empirical applications in economics and business. There will be an overview/revision of the fundamentals of behavioural microeconomics. In the course of this, students will be participating in actual experiments through surveys and online games. Applications will include, among others, the behaviour of drivers under deferent reputation mechanisms (based on a field study with Beat and Uber in Athens), the effectiveness of Covid-19 lockdown measures based on the behaviour of individuals using data from google mobility data and experimental evidence, and applications in auctions and company takeovers. The second part of the course focuses on quantitative behavioral macroeconomics with applications in economics, business and finance. This part of the course aims to enhance students background with the deep cultural routes of contemporary human behavior. This course combines knowledge from interdisciplinary quantitative research studies such as business, engineering, psychology and anthropology. Among others, applications will include scrapping people preferences data from google, twitter and facebook using R, explaining the rise of the experiences economy (important category in AirBnb), and the importance of culture on the consumption of luxury goods, on savings rate, CEOs firm decisions and investors decisions on stock market participation.
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6 ECTS |
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Game Theory and Strategic Decisions with applications in Economics
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This course is designed for people in business, for managers. It is as theoretical as necessary for providing an introduction to the science of game theory; and practical in that it offers many applications and case studies to make it attractive to managers in both the commercial and non-profit sectors, as well as to students in business. The chief purpose of this course is to enable the student to set up, study and solve games, especially games that arise in business and economics. To acquire a taste of the type of situations we would be interested in as well as the type of questions we would be asking, think of the following “real-life” situation.
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6 ECTS |
- Banking Administration and Risk Management (offered by another MSc)
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The financial crisis that broke out in 2007 demonstrated the importance of recognizing and managing the multiple risks faced by financial institutions (FI). The course provides a comprehensive approach to managing the risks faced by FI: identifying, measuring and mitigating them. Emphasis is placed on the role of derivative products in reducing risk. Both internal systems and external prudential rules are covered, seeking solutions to the deficiencies that have led to failures in both self-regulation and supervision of FI.
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6 ECTS |
- Corporate Finance
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This course examines how firms access external funding and factors that affect their capital structure decisions. It also covers topics on investment valuation and capital budgeting.
The first part of the course (Section 1) focuses on financial statements, key financial indicators, capital budgeting and investment appraisal. Topical issues are discussed, and special topics are covered, such as debt amortization and stock valuation. Students are also equipped with the knowledge to apply asset valuation in practice using appropriate data sources.
The second part of the course (Section 2) covers capital budgeting and business plans. A case study is discussed extensively in class. Students are then asked to prepare, submit, and present their own financial analysis of a chosen firm, and participate in a simulated exercise in class representing the firm in negotiations with external investors about terms of funding.
The third part of the course (Section 3) focuses on the micro-foundations of corporate financing. Using Modigliani-Miller (MM) irrelevance proposition as a guiding benchmark, students analyse the impact of real-world financial decisions, such as dividend policy and stock buybacks, on equity valuation and the cost of funding. Topical issues are covered, such as stock issuance using pre-emption rights, and renegotiations of legacy debt. Moreover, real-world examples are considered where capital markets are subject to distortions and frictions, such as financial distress costs, principle-agent problems, and asymmetric information.
Overall, students are equipped with the analytical apparatus to identify first-order issues relevant to corporate financing decisions and learn how to combine and apply them in practice.
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6 ECTS |
- Corporate Governance
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The object of corporate governance is the control of the proper functioning of businesses in the modern economic environment through the alignment of incentives of executives and other interested parties such as shareholders. With a focus on the separation of management and control, issues such as benefit schemes for business executives, the structure and role of the board of directors, internal and external control mechanisms, alternative corporate governance schemes depending on the nature of the business and the economic environment are examined. is active, as well as issues of corporate social responsibility and sustainability.
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6 ECTS |
- Financial Derivative Products (offered by another MSc)
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The course covers the main derivative financial products: Forwards and futures on various underlying values. Options on stocks, indices, forex and futures. Interest rate and currency swaps. At the heart of the analysis are models of pricing as well as hedging of risks with derivatives or from derivative positions on behalf of financial organizations. Special topics covered include, among others, the Black-Scholes model, binomial trees, delta hedging as well as various applications such as real rights in finance.
- Business Finance and Strategic Business Decisions (offered by another MSc)
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The course includes:
Experimental design of alternative products/services. Empirical models of decision making Revealed preference discrete choice data analysis. Stated preference data analysis.
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After successful completion of the course, students should have a good knowledge of:
construction of basic models of consumer behavior using experimental design techniques of alternative options/products/services theoretical and practical econometric analysis of simple and advanced choice/preference models. In addition, students are expected to have acquired the relevant skills to: use software and build computing codes independently, collect, process and organize option/market data and extract its characteristics; visualize the data, design consumer behavior surveys isolate and quantify the effect of attributes/factors on consumer choices/preferences.
- Simulation of options/demand/market shares based on scenarios.
- Market segmentation, design of preference data collection tools.
- Market Regulation and Competition Policy
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The course examines business strategies that aim to create or strengthen their market power. It also examines their treatment by Competition Policy, the basic form of regulation of oligopolistic markets. The course combines theory (using examples of oligopolistic competition) and analysis of important cases from Competition Principles in Greece, Europe and the USA. First, unilateral foreclosure strategies by dominant companies are examined. Strategies involving agreements (such as cartels) between firms are then examined. Finally, the horizontal M&A strategy is examined in depth.
- Economics of Innovation
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The course is interested in issues of definition and consequences of innovations in economics and how these are related to issues of business strategy and market structure. These cover a wide range of economics, including micro, macro, entrepreneurship, licensing, patents and intellectual property, technology and information diffusion, networks and organization, infrastructure, as well as economic policy issues therein.
- Quantitative Finance
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The course focuses on applied topics in finance using computational and analytical methods. The subjects taught are the following: high-frequency data and realized volatility, the full cross-validation algorithm and basic investment strategy valuation measures (the full backtesting algorithm, arithmetic mean, geometric mean, volatility, Sharpe Ratio, Sortino Ratio, Treynor Ratio, Calmar Ratio, maximum drawdown, alpha, beta, profit/loss Ratio), technical analysis, algorithmic construction of investment strategies based on forecasts of univariate models (cross-sectional momentum, time series momentum, returns signal momentum), construction and portfolio adjustment based on the above methods (re-optimisation and rebalancing), interest rate curve, bond valuation and applications in bond portfolios (analysis, estimation, simulation, applications with derivatives), numerical methods for calculating derivative prices.
- Special Issues in Financial Economics
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- International portfolios and risk management using derivatives
- Portfolio performance evaluation and active portfolio management techniques
- Pricing of exchange rate risk
- International investments
- Measuring risk with metrics VaR and CvaR and the use of computers.
To course covers the following topics:
The objective of the course is students after its completion:
- to extend their knowledge to other areas of of International Finance and exchange risk hedging.
- to be able to quantify risks and construct international portfolios for better exchange rate risk management.
- to be able to appraise exchange rate risk in the context of capital budgets and international investments.
- to be able to hedge this risk with financial derivatives
The acquisition of the following skills:
- Practical knowledge of portfolio management with foreign stocks and bonds
- Application of currency risk assessment models
- Application of real options
- Management of international portfolios, and hedging of currency risks using derivatives
- Application of measures to evaluate and compare the performance of international asset portfolios and VaR measurement techniques
- Financial Intermediation and Monetary Economics
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Syllabus:
- Why do we study money markets and the functioning of the banking system? The financial system. Money.
- Creating liquidity through deposits and money supply. Determinants of the money supply. Monetary policy tools. What is the role of the Central Bank? Monetary policy, objectives, strategy.
- Demand for money. The IS-LM model. Monetary and fiscal policy in the IS-LM model. Aggregate demand and supply.
- Monetary policy transmission mechanisms.
- Money and inflation.
- Rational expectations: implications for policy.
- The international financial markets. The international financial system.
The objective of the course is students after its completion:
- to extend their knowledge to the areas of monetary economics and financial markets
- to be able to understand the implications of specific economic policies on economy’s liquidity as well as on the functioning of financial markets
The main objective of the course is for students to understand the relationship between the banking system and the financial markets. It focuses on how liquidity is formed in an economy, and on the catalytic role that the commercial banking system has in this process. The determinants of the money supply, the tools of monetary policy and the role of the Central Bank are presented. The money demand side is analyzed and monetary policy transmission mechanisms are presented. Special reference is made to the ECB and the Eurosystem.
- Market Microstructure with Computational and Statistical Methods
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SYLLABUS:
- The course covers the following topics:
- Market Industry: Buy/Sell side, dealers, brokers, clearing and settlement.
- Orders, Algos and algorithmic trading.
- The role of dealers, brokers.
- Main categories of market-users (profit-motivated, utilitarian, noise traders) and their incentives.
- Basic strategies of each of these categories and how they affect the market mechanism.
- Price discovery in exchanges and OTC markets.
- The incorporation of information in market prices and the informational content of trades.
- Market structures: Order-driven, Dealer-to-Customer, Crossing-networks and hybrid markets.
- The nature of liquidity and volatility, their relationship and how they both affect market efficiency.
- Manifestations of asymmetric information, strategies for exploiting the information advantage and ways of protection against the risk arising from it.
- Key microstructure models: Garman, Roll, Glosten-Millgrom, Easley- O’Hara, Kyle, Glosten-Harris.
- Empirical Portfolio Analysis and trading strategies, with the use of software including Microsoft Office Excel and Python.
Market Microstructure is the field that deals with the organization of markets and their participants. Specifically, the dynamics of trade and price developments in different markets are examined by studying:
- the rules governing trading.
- the types of market-participants.
- their incentives, and
- the strategies they choose to achieve their objectives.
The student will be able to interpret the very short-term market dynamics, as well as to assess the possible strategic decisions that traders face over the course of a day. The syllabus covers both theoretical work and empirical work.
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6 ECTS |