Part 1: Stata/R, Data Managing and Descriptive Statistics (21h)

Preparation

• Comparison R, Python and Other Statistics softwares. Big Data handling, Very Fast calculation
• Installation R, RStudio and Libraries

R

• Basics, Variable types, and definitions
• Operators
• Basic and Useful functions
• Personal functions creation and using
• Personal libraries creation and using
• Loops

Data

• Dataframe vs Data table
• Importing and exporting data
• Download data from IFRC Webservices
• Download data from free sources: Yahoo, Quandl, …
• Download data from international organizations: World Bank, OECE, IMF, World Exchange Federation, …
• Data mining from website (simple cases)
• Sort, Join, Transformation, Reshaping, Subletting, Aggregation, …

Statistics: Univariate/Multivariate, by group – Parametric/Non-parametric

• Descriptive
• Probability Distribution: Normality, …, Stable distribution
• Independence
• Comparison of mean/location, of variance/scale
• Ordinary Least Squares (OLS)
• Customize output presentation format

Using Vietnam Economics and Financial Research Database Implementation

• Front end
• Back End
• Cloud computing

Error handling

Automation

• Webservices, FTP
• Extraction
• Create batch files and Schedule execution

Part 2: Empirical Research in Finance using R (21h)

Return calculation and properties following periodicity​

• Discrete
• Continuous
• Compound
• Cumulated returns​

Distribution

• Normality,
• Stable,…
• Extremes Values​

Independence

• Autocorrelation,
• Variance Ratios​

Stationarity in Time Series

• Unit roots,
• Cointegration (Oil prices impacts, ASEAN Monetary integration, …)​

Heteroscedasticity and Volatility Models​

Random Walk

Market Anomalies

• Seasonality (Day of week, Month of Year),
• Effect (Size, Book Value, Price Earning, Volatility, Beta, …),
• Momentum/Overreaction

Part 3: Empirical Advanced Research in Finance using R (21h)

CAPM and different versions

• Market Line,
• Mean-Variance Portfolio,
• Efficient Portfolio,
• CAPM, 3 Factors, …​

Portfolio creation, strategies and Management​

Performance/Risk/Liquidity and Controlled Variables using Panel Regression with different types of Effects

• Gender/Performance
• Foreign Investors/Liquidity
• State Owned Companies/Volatility

Event Studies

• Benchmark
• Models
• Statistics (IPO, Splits, Dividend, Index Review, …)