Faculty Development Programme

Date: 8th – 12th February, 2016

CALCUTTA BUSINESS SCHOOL

Diamond Harbour Road, Bishnupur – 743 503, 24 Parganas (South)Phone: + 91-33-2420 5200 (Extn 209)

Email: som.cse@live.com; parthas@calcuttabusinessschool.org

www.calcuttabusinnessschool.org

PROGRAMME DIRECTORDr. Tamal Datta Chaudhuri

Principal, Calcutta Business School

Venue: MDRC, Calcutta Business School

Empirical Research in Finance

INTRODUCTION

In the financial sector, a large volume of data is generated at regular intervals. Data on stock prices,

exchange rates, option prices, net asset values, commodity prices and portfolio performance are

available on real time basis. The data is both cross-section and time-series in nature. This volume of large

data is also readily available due to advances in information technology. Any researcher in the area of

finance has now easy access to this data.

In order to analyse this large volume of data and generate meaningful results, there is a need to learn the

application of appropriate technique to test various hypotheses.

OBJECTIVE

The focus of this Faculty Development Programme (FDP) is on application of statistical, econometric and

machine learning tools to research problems in the financial sector. It is designed to help the participants

in performing formal analysis with financial data like forecasting of returns, forecasting volatility, risk

analysis, asset pricing, market trend analysis, portfolio design, decomposition of a time series, etc.

Financial data has certain characteristics which require different kinds of tools of analysis. The FDP aims

at introducing these techniques through real life financial data and hands on application in a lab

environment.

SESSION PLAN

Day 1- 08/02/2016

1. Session 1

Introduction to Financial Markets, Players and Instruments/Assets

Portfolio Construction and Financial Planning, Avoiding Pitfalls of Financial Markets - Spot Market,

Futures Market and Options Market

2. Session 2

Sources of Financial Information – reading of the web pages of stock exchanges, commodity exchanges,

Reserve Bank of India, SEBI, AMFI, Value Research, Metastock, Moneycontrol etc.

3. Session 3& 4

Understanding the meaning and implications of different variables used in financial research –P/E Ratio,

Book to Market Ratio, Stock Returns, Beta, Alpha, Profitability Ratios, Leverage, Coverage ratios, Yield to

Maturity, Duration, Convexity, Greeks in Options Trading, Momentum, Stock Market Indices - both

National and Global.

Day 2 - 09/02/2016

1. Session 1

Broad Coverage of Research Areas in Finance

2. Session 2 & 3

Financial Time Series Data, its characteristics, and appropriateness of Application of Econometric

Techniques

3. Session 4

Discussion on VAR, ARIMA, ARCH, GARCH class of models. Applications of these techniques in the

literature

Day 3 - 10/02/2016

1. Session 1& 2

Framing a Time Series problem and estimating it in a Lab Session with E Views

2. Session 3

Relevance of applying Discriminant Analysis, Logistic Regression and other tools in Financial Time Series Analysis

Day 4 - 11/02/2016

1. Session 1

Decomposing a Financial Time Series with R and its applicability in forecasting

2. Session 2 & 3

Lab Session on application of R in Research in Finance

3. Session 4

Introduction to Multi Criteria Decision Making Models and its application in Finance

Day 5 - 12/02/2016

1. Session 1

Financial Research using Artificial Neural Network

2. Session 2

Application of Machine Learning Tools like Clustering, DENFIS, Random Forest in Financial Research

METHODOLOGY

Class room lectures, case studies, extensive lab-oriented exercises.

TARGET GROUP

Students specializing in Finance at post-graduate level and MBA/PGDBM level, research scholars, faculty of schools, colleges and MBA institutions, financial consultants and financial market players.

FACULTY PROFILE

1. Dr. Tamal Datta Chaudhuri, Principal, Calcutta Business School

Ph.D.(John Hopkins University), Professor in Finance and Economics

2. Mr. Jaydip Sen, Assistant Professor, Calcutta Business School

M. Tech. (ISI, Kolkata), Assistant Professor in IT and Business Analytics

3. Mr. Indranil Ghosh, Assistant Professor, Calcutta Business School

M. Tech.(WBUT), Assistant Professor in IT and Business Analytics

4. Dr. Jayita Bit, Assistant Professor, Calcutta Business School

Ph.D.(University of Calcutta), Assistant Professor in Finance & Economics, Operations Research & Management

About Calcutta Business School (CBS):

Promoted by a group of industrialists and academicians, CBS, an autonomous institution, commenced its

journey in July 2008, offering an innovative and futuristic, fully residential 2 year Post Graduate Diploma

in Management (PGDM) programme approved by AICTE. It is located on a sprawling 15 acre campus,

about 7 kms south of IIM Calcutta. In addition to world-class full-time faculty, outstanding distinguished

Professors and Visiting Professors from all over the world (24 from leading business schools in the USA

and Australasia) provide the academic inputs. In the state-of-the-art 'intelligent campus' all students are

provided with powerful laptop computing devices and high bandwidth wireless Internet connectivity.

REGISTRATION FEES

For financial consultants and financial market players: Rs. 5000/-

For faculty of schools/colleges/MBA institutions and research scholars: Rs. 3000/-

For students: Rs. 2000/-

For Accomodation (all inclusive):-Twin Sharing: Rs. 1000/- per day per headPayment can be made in the form of A/C payee cheque/DD favouring "Calcutta Business School" and payable at "Kolkata" (DD). RTGS/NEFT/ECS can be made to our Savings A/C No. 001794600000085 with YES BANK, Russel Street Branch, Kolkata (IFSC Code. YESB0000017), under intimation to us. Our PAN No. AAAAM0247J; Service Tax No. AAAAM0247JSD002.

Registration deadline: 30th January, 2016.

Inquiries @ : Mr. Partha Sen, Senior Manager, MDP Programme Tele: (033) 2420 5200, M: (91) 96747 94042 Email: parthas@calcuttabusinessschool.org www.calcuttabusinessschool.org