Workshops

I have taken a couple of lectures / workshops on time series econometrics, derivatives, CIP arbitrage and market microstructure. The details are:

Time Series Econometrics:

-- Introduction to stationary and non-stationary processes

  -- Modelling a stationary process: AR/MA/ARMA models

  -- Estimation, Diagnostics

  -- Forecasting using AR/MA models

-- Volatility Modelling

  -- Introduction to ARCH family of models

  -- ARCH(p) Model: Testing, Estimation, Fit

  -- GARCH (p, q) Model: Testing, Estimation, Fit

  -- Forecasting volatility using ARCH and GARCH models

-- VaR Estimation

  -- Computing VaR estimates using different volatility estimates

  -- Performance evaluation

Derivatives

-- Introduction to forwards, futures and options

  -- Concept

  -- Payoffs

  -- Exchange vs OTC

-- Use of derivatives

  -- Hedging

  -- Arbitrage

  -- Speculation

-- Pricing

  -- Futures and forwards pricing

  -- Options pricing 

      -- Black-Scholes Model

      -- Put-Call parity

      -- Binomial pricing

CIP Arbitrage 

-- The law of one price 

-- Interest rate parity theorem

-- Covered interest parity: Equation, violation, arbitrage

-- Assumptions

-- No arbitrage bands

Market Microstructure Research

-- Introduction to financial markets

  -- Purpose of financial markets

  -- Forms of markets

  -- Functions of financial markets: price discovery and liquidity provision

-- The field of market microstructure

  -- What is market microstructure

  -- Why study market microstructure

  -- An example of market microstructure: the National Stock Exchange

-- Research themes in market microstructure

  -- State of the art (theoretical and empirical evidence)

-- Open questions in the context of Indian securities market

  -- Why study India?

  -- A research agenda for the Indian securities markets

-- How changes in market microstructure affect market outcomes: 

 --The causal impact of algorithmic trading on market quality

-- Measuring market outcomes: price discovery in multiple markets.