Econometric modelling of financial markets

Econometric time series models are powerful tools for market analysis.

  1. How to determine fair values of equity, FI and FX markets?
  2. How to explain observed market movements?
  3. How to distinguish systematic return components from those subject to idiosyncratic forces (i.e. single events, investor behaviour etc.)?
  4. To what extent can fundamental data forecast markets?

The course provides various sample models including R-Codes.


Best Practices

  • Fair value models
  • Simultaneous market models
  • Explained vs. unexplained return components
  • Forecasting models

Deliberate Practice

  • Participants will practice market analysis based on econometric models. We will share experiences and discuss the strengths and weaknesses.

Lessons Learned and Next Steps


    The Training Sprint is a live online class of 3 hours (10-13 CET) using Zoom. This course is CPD accredited for 3 credits.

    Target Group

    CIOs, investment committee members, fund managers, research analysts


    This Training Sprint will be offered by Panthera Solutions, a cooperation partner of the Capital Markets Academy. Registration, processing and payment are handled directly through Panthera Solutions. Standard payment method is PayPal. If this is not suitable for you, please contact Panthera Solutions directly here.

    Ihre Referenten

    Prof. Dr. Thorsten Neumann

    Prof. Dr. Thorsten Neumann is a quantitative asset & risk management specialist at Panthera Solutions. He is a tenured professor for Economics, Asset Management and Statistics at University of