Financial Econometrics Course 2017



This course is intended to provide you with a hands-on introduction to the analysis of financial data.

It works through some of the most widely used techniques applied in financial markets.

The course is intended to be highly practical and hands-on. You will get good exposure and gain insight into the types of analyses that can be expected from quantitative analysts in practice.

You will be expected to write a paper for examination purposes: applying the techniques you have mastered to answer a practical question.



  • Nico Katzke (MComm, Cum Laude; prospective Phd: Quantitative Finance): quantitative analyst, Prescient Securities; consulting financial economist, BER; Lecturer, Stellenbosch University.

  • Github

  • Research

  • CRAN packages

Course Outline

Find the Course Outline here

Please note that there might be slight changes to the outline as the course progresses. This will, however, be clearly communicated to you in class.

Course Material

Getting staRted

  • For this course you must have the latest versions of the following installed on your laptops:
  • Follow this tutorial for an easy step-by-step illustration of downloading these three programs.

  • After installing the above, run the following code:

if (!require("devtools")) install.packages("devtools")
# Input your directory as dir:
create_template(directory = dir, template_name = "Template", launch_template = TRUE, ShowPDFatLaunch = TRUE)

Please make sure the above works without errors by next week.

For more information on the code you just ran, see here. This will be the template for your paper.

Class Notes

  • The course for 2017 has completed. For information on class notes and tutorials, message me directly.


  • The course for 2017 has completed. For information on class notes and tutorials, message me directly.


github desktop non beta

Setting up your github folder:

I now see what the problem was with the dragging and dropping approach:

  • Another set of gitignore files were created when you dragged and dropped your folder.

    • SO: Do the following:
    1. Create a folder with your project name (something unique please)

    2. Place in it the Texevier files / your files for your project.

    3. Add your Data folder to this (if not already done)

    4. Add a .gitignore file with the entries as given last time

    5. After all is done, drag and drop into Github desktop BUT (NB). The following figure appears:

    github desktop non beta

    1. Click on gitignore: windows and select NONE.

    2. Finally, check that you do not have the Data folder committed, and then commit and publish to the cloud. Once done, invite me to your folder.

If anything is unclear, feel free to mail me. Also, here is a working example to try and mimick (and note the .gitignore entries):


Fork it from Github desktop, and change the name of the folder and commit it to git.

Bloomberg Terminal

  • Below follows an outline of what you need to know to access the Bloomberg terminal.

  • Please use this facility to tool up on the highly sought after skill that is fluidness on a Bloomberg terminal.

To access the Bloomberg terminal do the following:

Activate your card on the third floor of the Neels (opposite mr TE Muller’s office there is a litte box next to the door. Hold your card untill light turns green. Do so every two weeks).

Your card is now activated for the terminal (it is now in the Industrial Psychology building - use side entrance. Building 67 here. Enquire inside which venue.

Once in, open up inetkey and the Bloomberg icon. Now create your own Bloomberg login.

Once logged in, there are several educational videos and tutorials for using Bloomberg. Search around on the terminal or ask the Bbg helpdesk what are good sources. Or google of course.

I recommend hitting the Help button twice and then asking help desk your specific question.

Also, use these functions:

SECF (security finder) XLTP (various excel templates) sear …. –> allows you to search terminal. E.g. type: SEAR South Africa GDP

Also see here for some other tips and ideas.

Good luck and enjoy


Nico Katzke


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