Big Data Asset Pricing
Details: A Concentrated Class, Partly Hybrid
CBS website: https://phdsupport.nemtilmeld.dk/
Instructors: Lasse Heje Pedersen (LHP) and Theis Ingerslev Jensen (TIJ)
Prerequisites: The course is designed as a first- or second-year Ph.D. course. The prerequisites are knowledge of asset pricing theory and econometrics at a M.Sc. level and an ability to work independently with data using a programmatic computer language such as Matlab, R, or Python. Students must participate in the whole course and do all problem sets.
Aim: The class aims to introduce Ph.D. students in finance and related fields to research methods in big data asset pricing.
Format: The course is partly hybrid and partly in-class, over about 6-8 weeks. There is one lecture per week, except that lectures 5-6 are held on two consecutive days, where participants from abroad must show up physically at Copenhagen Business School.
Time. The class is held in the Spring semester at Copenhagen Business School, likely around February/March.
Lecture plan (preliminary, 3h means 3 hours):
Exercises: must be handed in before the lecture in which they are discussed. Exercise 5 should be handed in 2 weeks after the last lecture.