Course Outline Programme: Cohort: Cohort Academic Year/Trimester: 2011/2012 Trimester 3 :-September-NOVEMBER Course Code and Course Name:

INTF 6001 QUANTITATIVE FOUNDATIONS Course Type: Core Level: Year 1 Lecturer: Mr. Wayne Munroe Lecturers e-mail: waynemunroe@hotmail.com Lecturers phone #:1868-303-6663 Programme Coordinator: Mr. Arnold Manniram Prerequisite/co-requisite course (s): None Involvement of other institutions for delivery: None
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1.0 Vision and Mission of the Lok Jack GSB

The vision of the Lok Jack GSB is to be the best business school in the Caribbean by 2012, serving as a regional centre for business education, training, consulting and research. The mission of the School is to improve the international competitiveness of people and organizations in the Caribbean through business education, training, consulting and research.

2.0 Quality Statement

Within recent times the global environment is becoming highly competitive and there is therefore a need for managers to have an understanding of Quantitative Foundations.

The purpose of Quantitative Foundations is to provide participants with a general overview of financial statistical analysis as it relates to the interpretation of financial statistical variables in the world of work.

3.0 Course Description

The Quantitative Foundation is taught at top business schools that specialize in finance; the knowledge of Quantitative Foundation is required at international institutions that are grounded in research and in the analysis and interpretation of financial and statistical data in the real world.

The objective of the course Quantitative Foundation is to provide candidates with current tools required to evaluate and analyze economic and financial statistical variables within the global environment.

4.0 Aims

After completing this course in Quantitative Foundation the participants will be able to:
Have an understanding of the usefulness of Quantitative Foundation as it relates to management science as decision making aids.

Performing basic financial statistical and analytical procedures using Quantitative Foundation

Develop the skill to critically and constructively identify the role, and evaluate the usefulness, of data for business decisions employing Quantitative Foundation Develop a team building approach to problem solving and to enhance interpersonal communication skills.

Simulate and to expose students to the practical realities of the decision-making environment using Quantitative Foundation Engage in further study of statistics and Quantitative Foundation.

5.0 Course Outcomes

Outcome

Learning & Teaching Method

Assessment Method

Knowledge Outcomes

On line multiple choice

By the end of this course The course will students should be able to: conducted using :
1.

be

Understand the importance of quantitative business analysis to industry apply the models of quantitative analysis to the real world Interpret the various models of quantitative business analysis

Lecturer presentations Lecture notes Videos On line choice multiple

2.

3.

Skills Outcomes

On line multiple choice

By the end of this course, The participants would be students will possess the required to following skill sets:
1.

understand quantitative business analysis

Read the lecture notes and the text before each class Participate in class

2.

Apply the tools and techniques of quantitative business analysis to businesses across industries

discussion/arguments Walk with a scientific calculator Ask questions if they dont understand, or require clarity

Affective Outcomes (including ethics)

On line multiple choice

By the end of this course, students will: appreciate ethics in model formulation understand the various models used in quantitative business apply the knowledge gained to improve the profitability of an organisation

6.0 Class Schedule by topic, required reading etc. The table describes the organisation of the course by topic, and show how it integrates into the overall programme.
Date Topic Areas to be covered Required reading text chapters Supplemental readings

Cases/Ex

Wednesday 12th September

Chapter 1

S. Arjoon

Exercises E

Basic Statistical Concepts and financial applications

Define and calculate measures of central tendency: the arithmetic mean, the median, the mode and other mean concepts

Measures of dispersion: The range, the mean absolute deviation, population variance and population standard deviation, sample variance and sample standard deviation, semi-variance, semideviation, and related concepts, Chebyshevs inequality, coefficient of variation, the Sharpe ratio
Wednesday Basic Statistical 19th September Concepts and Chapter 1 S. Arjoon

Exercises E

its application to finance

Define the nature of statistics, Populations and samples, Measurement scales Summarize data using frequency distributions: Graph data, Construct a histogram, the frequency polygon and the cumulative frequency distribution

Wednesday 26th September Statistical

Concepts and market Returns

Quartiles, quintiles, deciles and percentiles, Quantiles in investment practice Symmetry and skewness in return distributions. Kurtosis in return distributions. Using geometric and arithmetic means

S. Arjoon Chapter 2 Lecture notes

Exercises E

Date

Topic

Areas to be covered

Required reading text chapters

Supplemental readings

Cases/Ex

Wednesday Probability 3rd Concepts October

After completing this section participants should be able to: Define and compute probability, expected value and variance Portfolio expected return and variance of return Bayes formula, principles of counting

S. Arjoon Chapter 3

Exercises E

Lecture notes

Wednesday 11th Probability October Concepts

S. Arjoon

Exercises E

Define and compute probability, expected value and variance. Portfolio expected return and variance of return. Bayes formula, principles of counting

Chapter 4

Lecture notes

Wednesday 17th October Common

S. Arjoon Chapter 5

Exercises E

Probability Distributions

Conduct sampling: simple random Lecture notes sampling, stratified random sampling, timeseries, cross-sectional data Distribution of the sample mean using the central limit theorem Point and interval estimates of the population mean: point estimators, confidence interval for the population mean, selection of the sample size More on sampling: data-mining bias, sample selection bias, look-ahead bias, timeperiod bias

Date

Topic

Areas to be covered

Required reading text chapters

Supplemental readings

Cases/Ex

Wednesday 24th Sampling and October Estimation

S. Arjoon

Exercises E

Conduct sampling: Chapter 6 simple random sampling, stratified Lecture notes random sampling, timeseries, cross-sectional data Distribution of the sample mean using the central limit theorem Point and interval estimates of the population mean: point estimators, confidence interval for the 8

population mean, selection of the sample size More on sampling: data-mining bias, sample selection bias, look-ahead bias, timeperiod bias

Wednesday Hypothesis 31st Testing October

Conduct hypothesis testing Hypothesis testing concerning the mean: test concerning a single mean, test concerning difference between means, test concerning mean differences Hypothesis testing concerning variance: tests concerning a single variance, tests concerning the equality (inequality) of two variances Other issues: nonparametric interference: tests concerning correlation (the spearman rank correlation coefficient), nonparametric inference summary

Chapter 7 Lecturer notes

S. Arjoon

Exercises E

Wednesday 7th November

Correlation and Regression

Correlation analysis: scatter plots, correlation Chapter 8 analysis, calculating Lecture notes and interpreting the correlation coefficient, limitations of correlation analysis, uses of the correlation

S. Arjoon

Exercises E

analysis, testing the significance of the correlation coefficient Linear regression: linear regression with one independent variable, assumptions of the linear regression model, the standard error of estimate, the coefficient of determination, hypothesis testing, analysis of variance in a regression with one independent variable, prediction of intervals, limitations of regression analysis

Wednesday Multiple 14th regression and November issues in

regression analysis

Define and calculate the assumptions of the multiple linear regression model, predict the dependant variable in a multiple regression model, test whether all population regression coefficients equal zero, adjusted R2 Using dummy variables in regressions Violations of regression assumptions: heteroscedasticity, serial correlation, Multicollinearity and summary issues Model specification and errors in specification:

Exercises E Chapter 9 Lecture notes

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principles of model specification, misspecification functional form, time-series misspecification (independent variables correlated with errors) Other types of timeseries misspecification] Models with qualitative dependent variables

Wednesday Time-series 21st Analysis November

Challenges of Chapter 10 working with time Lecture notes series Trend models: linear trend models, log-linear trend models, trend models and testing for correlated errors Autoregressive (AR) Time-series models: covariancestationary series, detecting serially correlated errors in an autoregressive model, mean reversion, multiperiod forecasts and the chain rule of forecasting, comparing forecast model performance, instability of regression coefficients Random walks and units roots: random walks, the unit test of non-stationarity Moving averages 11

Exercises E

time series models: smoothing past values with an n period moving average, moving average time series model for forecasting Seasonality in time series models Autoregressive moving average models Autoregressive conditional heteroscedasticity models Regression with more than one time series Other issues in time series Suggested steps in time series forecasting

Wednesday Portfolio 28th Concepts November

Mean-variance analysis: the minimum-variance frontier and related concepts, extension to the three-asset case, determining the minimum0variance frontier for many assets, diversification and portfolio size, portfolio choice with a risk-free asset, the capital asset pricing model, mean-variance portfolio choice rules-an introduction

Chapter 11

Exercises E

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Practical issues in mean-variance analysis: estimating inputs for meanvariance optimization, instability in the minimum-variance frontier Multifactor models: factors and types of multifactor models, the structure of macroeconomic factor models, arbitrage pricing theory and the factor model, the structure of fundamental factor models, multifactor models in current practice, applications.

7.0 Details of Assessment Coursework 40% Final Examination 60% Total 100%

Multiple choice questions will be administered. A total of not more than ten will be administered after the third, sixth, ninth and twelfth week in order to assist the progress of the class. All forty questions will be of equal weight and will be conducted ONLINE:

8.0 Dates for coursework assignments

Assignment

Attempting Interval Dates

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17th October to 24th October 20 multiple choice questions at the end of classes 1- 6

20 multiple choice questions at the end classes 7-11 9.0 Rubrics Excuses

Tuesday 21to 29th November

1. Excuses relating to matters under the control of the student will not be accepted. These include, but are not limited to, bad time management, computer problems, inability to locate information, personal commitments such as holidays, political or social activities. Technical problems related to passwords or internet access will NOT be accepted as excuses. 2. Where extenuating circumstances are claimed for missing the examination, these must be confirmed by documentary evidence at the time.(For example, medical certificate in the case of illness, employer letter in the case of unavoidable business commitment, etc). Foreign travel is generally not accepted as an excuse for missing the examination 3. All requests for missing the examination must be approved by the Programme Director in advance of the deadline for missing the examination. 4. Where extenuating circumstances are accepted, no penalty will be applied. Assignments approved for late submission received after marking of coursework is complete will not be recorded as failures and the student will be allowed to redo the multiple choice examination. 5. Notice of extenuating circumstances will be included in the student's file.

All appeals or cases falling outside these guidelines will be referred to the Academic Director. 11.0 Required Text Name of text: Quantitative Investment Analysis ISBN#: 13 978 0 470 05220 4 Publisher: J Wiley Edition: 2nd Available at: UWI Book shop Additional reading Name of text: A guide to understanding statistics by Mr. S. Arjoon ISBN#: 12-89-1597

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Publisher: IOB Edition: 1st Available at: UWI Book shop

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12.0 Other Requirements for the course

Scientific calculator Financial Calculator Statistical tables

Lecturer signature: ______________________________________________ Programme Directors signature: __________________________________ Date submitted _________________________________________________ Signature of Executive Director _____________________ Date: ____________________

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