Konstantin Tyurin

Konstantin Tyurin Assistant Professor, Indiana University Ph.D., Economics, Yale University My CV (Acrobat PDF format) My CV (Microsoft Word format) E-mail

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Courses

• E425/E501 Financial Economics
• E490/E501 Introduction to Financial Econometrics
• E571 Econometrics I
• E672 Time Series Econometrics

Short Description of Courses for Fall 2005

E571 Econometrics I: Statistical Foundations
Time: 5:30-6:45 pm MW
This course covers topics in probability theory and statistics that must be a working knowledge of modern economists. At least one year of multivariate calculus is an absolute prerequisite for this class. Familiarity with the basic concepts of probability, statistics, and matrix algebra would be extremely helpful, even though no additional background beyond multivariate calculus is assumed.

E490/E501 Introduction to Financial Econometrics
Time: 1:00-2:15 pm MW
This is an introductory course in empirical finance. It focuses on the applications of statistics and probability to finance. Topics include analysis of statistical properties and prediction of financial returns and other attributes of investments, data mining, modeling of volatility and stock market crashes, and short- and long-term portfolio management. The choice of statistical methods, which include univariate ARMA and GARCH models, linear and nonlinear regressions, factor analysis, and some simulation-based techniques, is motivated by their relative simplicity and popularity among quantitative financial analysts working in the industry. By the end of semester students are expected to complete and present in class an empirical project of their choice that requires essential application of econometrics to financial data. The course is aimed primarily at master level students in economics, mathematical finance, applied mathematics, and other quantitative fields, as well as undergraduate students with strong quantitative skills. All students taking this class should be comfortable with calculus, basic matrix algebra, and introductory statistics (including the simple linear regression analysis). Prior experience with basic theory of economics and finance is strongly recommended but not required.

Working Papers

• Competing Risks and the Order Flow Dynamics in Forex Electronic Brokerage
• High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market
• Modeling High-Frequency Dynamics of Financial Markets in Continuous Time: An Event-Based Approach
• The Occupation Density of Fractional Brownian Motion and Some of Its Applications

Useful Links

• Department of Economics, Indiana University
• Econometric Society
• IU Oncourse
• JSTOR (The Scholarly Journal Archive)

Last Updated: August 28th 2005
©2004-2005, Konstantin Tyurin