Teaching at the Chair of Statistics

What we are planning...

What we are planning...

Lecture: Econometrics of Financial Markets
Prof. Dr W. Schmid, Viktoriia Petruk

Seminar: Econometrics of Financial Markets
Prof. Dr W. Schmid, Viktoriia Petruk

Lecture: Introduction to Statistics and Data Science
Prof. Dr W. Schmid, Dr D. Ivasiuk

Lecture: Statistical Models
Prof. Dr W. Schmid, Diana Ivasiuk

Research and doctoral student seminar

Content requirements

• The student should demonstrate that they are able to work independently and scientifically on a topic they have chosen/proposed. This is done by recognising and presenting problems and suggesting solutions. In doing so, it is essential to precisely define the subject of the investigation or to clearly delimit the topic.
• The first step is to review and systematise the relevant literature. Systematisation, the organisation of one's own thoughts, is an important point in a scientific paper. The discussions in the literature must be recognised and fully named (within the chosen focus).
• In the second step, students should attempt to develop their own thoughts and come up with their own solutions. Students are certainly legitimised to critically examine the literature and formulate their own solutions and are therefore expressly encouraged to summon up the (undoubtedly) necessary courage to do so! Within the individual bullet points, attention should be paid to a coherent flow of ideas. The arguments must build on each other logically. A clear and fluent style is conducive to comprehension. Complicated linguistic constructions or the use of pseudo-scientific foreign words should therefore be avoided.
• The author should formulate independently and not borrow from literary models.
• The explanations must be preceded by an outline. In particular, the outline must clearly express the structure of the thesis and any chosen focus. The structure of the outline plays a major role in the assessment of the thesis. It is therefore recommended to constantly rethink it until the end and correct it if necessary.
• The thought leadership must be clear and comprehensible. The formation of working hypotheses must be mentioned and explained in order to enable third parties to review the results of the work.
• This requires an expression that is understandable for third parties, as well as the regular formulation of interim results. Building on this, references to the further train of thought are necessary.
• The work should begin with an introduction and end with a conclusion.
• In the introduction, the topic or problem must be defined, the objective stated and the train of thought outlined. In particular, the well-founded delimitation of the topic is unsatisfactory in many seminar papers. In order for the introduction to fulfil its purpose, it is recommended that it is only formulated at the end.
• In the conclusion, the most important results of the questions raised in the introduction should be summarised, with special consideration given to independently developed solutions.
• It should be emphasised that the introduction is not intended to anticipate the main section and that the purpose of the conclusion is not to remedy any weaknesses (which may have been identified in the last section) of the main section and to raise new aspects.
• (!!!)  In addition to the preparation of a seminar paper, bachelor's or masters thesis, participation and a mandatory presentation in our research colloquium is obligatory.

 Requirements for literature processing

• The recent literature must be comprehensively processed and current developments must be taken into account. This requires intensive literature research, in particular the search for dissertations and the review of at least the last three volumes of the journals relevant to the respective topic. When processing the older literature, a suitable selection should be made, which should be based in particular on topicality and importance. The databases available in the Universitäts library are helpful.
• Always use the latest available editions
.
• Any foreign ideas, whether verbatim or only in spirit, must be identified as such by citing the source in a footnote. The original source must always be cited. Secondary literature may only be cited if it is objectively inappropriate.
The problem here lies not so much in the fact that other people's ideas are knowingly not recognised, but rather in the danger of unconsciously turning other people's ideas into one's own. This danger can be countered by developing appropriate techniques for recording material (e.g. index card systems).It should be noted that all work submitted will be analysed using plagiarism detection software and plagiarism will be given a grade of 5.0. In addition, the examination board will be notified in such cases.

Formal requirements

 General information

• The title page of a seminar paper, Bachelor's or Master's thesis contains information about the topic, the supervising lecturer, as well as the name, matriculation number, e-mail, address and, if applicable, telephone number of the author. Seminar papers also contain the name of the course.
Bachelor's/Master's theses are submitted in bound form (2 copies) to the Examinations Office.
• Seminar theses (2 copies) can simply be handed in stapled together to the chair
.
• In addition to the printed copies, a CD must be created for all papers, which contains the electronic version of the paper and also the applied data sets, computer programmes (programme code in SAS, R or MATLAB) and programme outputs.
• The finished document should be structured in the following order:
• Cover page
• Short abstract (5-10 lines) in English (NEW!)
• Outline or table of contents with page numbers
• (complete!) List of abbreviations and, if applicable, a list of symbols
• List of figures and tables
• Content of the work
• List of references
• List of other sources
• Appendix
• The text should be labelled with page numbers. The footnotes can be numbered consecutively or page by page
.
• The length of a bachelor's dissertation should be at least 25 pages.
• The length of a masters thesis should be at least 35 pages.
• The length of a seminar paper should be at least 15, but no more than 20 pages.
• Literature or other lists and any appendices or appendices are not counted as pages, only the actual content of the work counts.

Format requirements:

• DIN A4
• one-sided
• 1.5-fold line spacing
• left, right, top, bottom margin 3cm
• Font size text: 12, font size footnotes: 10
• We recommend the text typesetting programme LaTeX, more precisely the editor LyX, with which you can create attractive PDF documents. (Requires prior full installation of MiKTEX). You can find plenty of freely available Lyx or Latex templates on the Internet to help you get started.
• Tables, figures, etc. must be labelled as clearly as possible. Attention must be paid to a precise factual, temporal and spatial delimitation of what is presented. A brief explanation of the symbols used (irrespective of their detailed explanation in the text), the notes added or adopted by the author and the references should be placed directly below the presentation. The tables and charts are to be numbered consecutively. Tables and diagrams that appear in the text section must be directly related to the respective text content and integrated into it; pure illustrations are to be avoided. Extensive material, such as larger tabular and graphical representations, etc., should be placed in an appendix if necessary.
Formulae are to be numbered consecutively, necessary proofs can be presented in an appendix.
• Lengthy mathematical treatises or proofs, source code of programmes, programme outputs, tables belong in the appendix. All elements of the appendix must be referred to in the running text.

Formal citation style

• Written quotations from other texts are to be labelled as citations by placing them in quotation marks. If text passages are omitted or supplemented by your own statements, this must be indicated.
• In the footnotes, the choice of formal citation method is generally left to the author, as long as the citation is consistent and the references can be clearly identified in the bibliography. Two alternatives are recommended: the so-called abbreviated citation method and the American citation method. In the abbreviated citation method, the citation in the footnote is only given with its most important characteristics. This is illustrated by the following examples:

Monographs 
- Schlittgen/Streitberg, Zeitreihenanalyse, 1997, p. 145.
- Montgomery, Introduction to Statistical Quality Control, 2001, p. 293.

Articles in journals
- Okhrin/Schmid, Estimation of Optimal Portfolio Weights, in: IJTAF, 2008, p. 260

Articles in edited volumes
- Golosnoy et al, On the Application of SPC in Finance, in: Lenz et al, Frontiers in Statistical Quality Control 9, 2010, p. 123.

• Even shorter is the so-called American citation style, in which only the author, year and page are given.

Example:

- Montgomery [2001, p. 293].

• First names should only be given in the abbreviated citation style in the event of possible confusion. The page to which the citation refers must be named exactly. If the abbreviated citation method is used, it must be followed consistently, i.e. even if the same reference is cited several times.
• Do not cite an author via the citation of another author (from a secondary source) if the original source is accessible.
• In addition, it should be noted that footnotes not only have the function of documenting the use of external material, but can also be used in many ways, e.g. for cross-references and for references to further literature. It may also be useful or necessary, for example, to make supplementary or explanatory comments outside the text in a footnote, which are not part of the basic train of thought but are nevertheless considered necessary.

Bibliography

• The bibliography must list the sources used in full. A third party should be able to access the literature used through the information in the bibliography. For this reason, it is necessary to adhere to certain formalities when citing the source.
The following principles must be observed in particular: The citation of monographs, collected works and commentaries must be based on the CIP title (usually found on the first inside page of a work). The following should be mentioned:

- Surname, first name of the author (or authors or editor)
- Title and subtitle of the work
- ("Series")
- Edition (if there are several)
- Place of publication and publisher
- Year of publication

 

• Academic titles and professional titles are not specified
.
• Journal titles are generally abbreviated, without issue number and publisher.
• Other sources include, for example, legal texts and internet sources
• Internet sources must always be included in the corresponding directory with precise details of the website and date of access. When selecting internet sources, please also note that a seminar paper or final thesis is a scientific work, for the preparation of which scientific sources should be used exclusively. These include, in particular, the websites of national and international organisations and ministries, but not the various online encyclopaedias (e.g. www.wikipedia.de, or sites with video content such as YouTube).

Other notes

• The papers can be written in German or English (after consultation with the supervisor), but the latter is only recommended if your English language skills are actually good.
• In order to avoid unnecessary mistakes, it is strongly recommended to have the seminar paper proofread by (at least) one native speaker.
• The most important advice at the end: Read this paper several times before, during and after writing your thesis.

Overview:

Risk management – Risk management [...]

1. Different Approaches to Measure an Assets Risk – Value at Risk Different approaches to measuring the risk of an asset (BA/MA)
2. The Capital Asset Pricing Model – Application and new Developments The CAPM – Application and new Developments (BA/MA)
3. Analysis of High Frequency Financial Data – Realised Volatility, Volatility Clustering, Applications Analysis of High Frequency Financial Data (MA)
4. RiskMetrics and Application – Expected Shortfall, Coherent Measures – RiskMetrics and its Application (MA)
5. Modelling and Evaluation of CreditMetrics – Modelling and Evaluation of CreditMetrics (MA)
6. Copula Modelling – Dependence Structure in Multivariate Distributions – Copula Modelling – Dependence Structure in Multivariate Distributions (MA)

Statistical Methods of Process Control – Statistical Methods of Process Control [...]

1. Instruments of Statistical Process Control – On the Tools of Statistical Process Control (BA/MA)
2. Process Surveillance for Industrial Processes – Process Monitoring in Industry (MA)
3. Application of Statistical Process Control in Public Health – Application of Statistical Process Control in Public Health (MA)
4. Assessment of the Reliability of a Production Process – Evaluation of the Reliability of Production Processes (BA/MA)
5. On the Detection of Structural Breaks in Economic Processes – On the Detection of Structural Breaks in Economic Time Series (BA/MA)
6. Premature Detection of Changes in Environmental Processes – Prematurely Detection of Changes in Environomental Processes (BA/MA)

Quantitative Methods (for Financial Markets) – Quantitaive Methods (for Financial Markets) [...]

1. Portfolio Selection under Uncertainty – Portfolio Selection under Risk (MA)
2. Multi-Period Portfolio Selection – Multi-period portfolio selection (MA)
3. Time Series Models in Finance – Time Series Models for Financial Markets (BA/MA)

Ökonometrie und deren Anwendung – Econometrics and their Applications [...

1. Spatial analysis of the German real estate market – Spatial Analysis of the German Real Estate Market (BA/MA)
2. Commuter Streams in Poland – Commuter Streams in Poland (BA/MA)
3. Spatial/Temporal Analysis of Different Economic Indicators (BA/MA)
4. Comparison of Different Time Series Models and their Application to Financial Data and Economic Indicators – Comparison of Different Time Series Models and their Application to Financial Data and Economic Indicators (MA)
5. Long Memory Processes and their Applications – Processes with High Correlation and their Application (MA)

Applied Statistics – Applied Statistics [...]

1. Forecast of bond / loan defaults – Default Prediction of Public Bonds / Bank Loans (BA/MA)
2. Loss Given Default according to the Basel Accords (BA/MA)
3. Seasonal effects in time series – Seasonal Effects in Time Series (BA/MA)
4. Basics of Time Series Analysis and their Application – Basics of Time Series Analysis and their Application (BA/MA)
5. Spatial Models and their Application in Economic Processes – Räumliche Modelle und deren Anwendung auf ökonomische Prozesse (MA)

Environmental Statistics – Enviromental Statistics [...]

1. Estimating and Predicting a Spatial Process using Experimental Variogram Fitting – Schätzung und Vorhersage eines Räumlichen Prozesses unter Benutzung des Experimentalen Variograms (MA)
2. Optimal Measurement Network Design – Minimising the Kriging Variance – Optimal Measurement Network Design – Minimising the Kriging Error (MA)
3. Modelling of Renewable Energy – Modelling of Renewable Energy (BA/MA)
4. Analysis and Evaluation of Pollutant Indices – Analysing and Evaluating Indices of Pollutants (BA/MA)
5. Prediction of Time Series and their Power to Forecast based on Environmental Data – Time Series and their Power to Forecast (BA/MA)
6. Spectral Analysis of Time Series and their Application to Environmental Data – Spectral Analysis of Time Series and their Application to Environmental Data (MA)
7. Non- or Semiparametric Modelling of Pollutants – Non- or Semiparametric Modelling of Pollutants (MA)

Electronic Library

• Database of Papers in Mathematics http://www.emis.de
• Business Source Elite, EconLit http://search.epnet.com/
• Science Direct http://www.science-direct.com/
• Electronic Journal Library http://ezb.uni-regensburg.de/ezeit/fl.phtml?bibid=EUV

Important statistical links

German Statistical Society http://www.dstatg.de
American Statistical Association http://www.amstat.org
American Mathematical Society http://www.ams.org
Royal Statistical Society http://www.rss.org.uk
Stochastics Section http://www.st-net.zib.de/
Arbeitsgemeinschaft Stochastische Modelle für Zuverlässigkeit, Qualität und Sicherheit e. V. https://agzqs.stochastik.rwth-aachen.de/index.php?id=ag-fuer-zuverlaessigkeit-qualitaet-und-sicherheit&lang=en
Deutsche Zentralbibliothek für Wirtschaftswissenschaften http://www.econdesk.de

Links devoted to informational databases on statistics

Current Index to Statistics https://www.library.ucsb.edu/research/db/98
Mathematical reviews http://www.ams.org/mathscinet/
The site is devoted to mathematics and informational science data and contains: specialised search engines, relevant libraries and institutions, e-journals, and important references http://www.ub.euv-frankfurt-o.de/de/externe_recherche/index.html
Royal Statistical Society, list of links http://www.rss.org.uk
The WWW Virtual Library: Statistics. List of statistical departments in the world, large software database of links https://www.merlot.org/merlot/viewMaterial.htm?id=254953