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55753-01 - Vorlesung: Elements of Applied Probability for Data Science, Economics, and Finance (3 KP)
| Semester | Herbstsemester 2025 |
| Angebotsmuster | Jedes Herbstsemester |
| Dozierende | Christian Kleiber (christian.kleiber@unibas.ch, BeurteilerIn) |
| Inhalt | The course intends to provide an overview of useful (and often cheap!) results in probability, results that are beyond the usual undergraduate "(Probability and) Statistics for Business and Economics" course but still far away from industry-strength probability. Though oriented towards probability for data science, economics and finance, it is highly recommended for MSc students in any quantitative or formal field. In economics departments, probability is often narrowly seen as an input for econometrics, or data analysis more broadly. The present course will attempt to provide a broader view: probability not only as a basis for econometrics and statistics, but also for a better understanding of stochastic models in economics, finance, insurance and other quantitative or formal subfields of economics and business. As always, the limiting factor is mathematics. We aim at an intermediate level emphasizing practically useful results and computation, deeper results will only be sketched or quoted. Measure theory will not be developed. If time permits, it will be sketched why this more abstract version exists and what it looks like. The course will be an eclectic mix of loosely related topics. It will not follow a textbook; it should be possible to just sample parts. Topics will include computations of expectations and variances, an overview of useful distributions and methods for constructing new ones, transformations of (univariate and multivariate) random variables, methods for bounding probabilities and expectations (possibly including uses in machine learning), order statistics and extreme values, possibly the Poisson process. In addition to the topics from previous years I will try to include something on stochastic orders and/or dependence concepts and/or heavy tails. There will be no data analysis (obviously). Software / programming language: Software for simulations or plotting (!), such as R or Matlab, will be helpful. |
| Lernziele | Overview of probabilistic concepts and tools beyond the undergraduate level, among others including inequalities for probabilities and expectations, the moment generating function, order statistics. |
| Literatur | The course will not follow a specific textbook. General references include Gut A (2009). An Intermediate Course in Probability, 2nd ed. Springer. [available as eBook] Hansen BE (2022). Probability and Statistics for Economists, Princeton University Press. Hong Y (2018). Probability and Statistics for Economists, World Scientific. Linton O (2017). Probability, Statistics and Econometrics, Academic Press. [available as eBook] Monfort A (1996). Cours de probabilit'es, 3rd ed, Economica. Ross S (2019). A First Course in Probability, 10th ed, Pearson. Wasserman L (2005). All of Statistics, Springer. |
| Bemerkungen | This is a course simultaneously addressing beginning PhD students and MSc students with sufficient preparation. It will proceed more quickly than typical MSc level courses. |
| Weblink | OLAT Weblink |
| Teilnahmevoraussetzungen | Students from Master's programmes of the Faculty of Business and Economics: Completed Bachelor's degree. In addition, successful completion of 12036 'Econometrics' (MSc) and 18545 Advanced Mathematics for Economics' (MSc) is strongly recommended. Other participants: Some background in statistics and mathematics, roughly 'lower engineering level'. |
| Anmeldung zur Lehrveranstaltung | Registration: Please enroll in the Online Services (services.unibas.ch); Eucor-Students and mobility students of other Swiss Universities or the FHNW first have to register at the University of Basel BEFORE the start of the course and receive their login data by post (e-mail address of the University of Basel). Processing time up to a week! Detailed information can be found here: https://www.unibas.ch/de/Studium/Mobilitaet.html After successful registration you can enroll for the course in the Online Services (services.unibas.ch). Applies to everyone: Enrolment = Registration for the course and the exam! |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| HörerInnen willkommen |
| Intervall | Wochentag | Zeit | Raum |
|---|---|---|---|
| wöchentlich | Mittwoch | 14.30-16.00 | Juristische Fakultät, Seminarraum S6 HG.52 |
Einzeltermine
| Module |
Modul: Core Courses in Data Science and Computational Economics (Masterstudium: Wirtschaftswissenschaften) Modul: Fachlich-methodische Ausbildung (Promotionsfach: Staatswissenschaften) Modul: Fachlich-methodische Weiterbildung (Doktoratsstudium - Wirtschaftswissenschaftliche Fakultät (Studienbeginn vor 01.02.2024)) Modul: Field Electives in Economics and Public Policy (Masterstudium: Economics and Public Policy) Modul: Specific Electives in Business and Economics (Masterstudium: Wirtschaftswissenschaften) Modul: Specific Electives in Data Science and Computational Economics (Masterstudium: Wirtschaftswissenschaften) Modul: Specific Electives in Economics (Masterstudium: Wirtschaftswissenschaften) |
| Prüfung | Leistungsnachweis |
| Hinweise zur Prüfung | For PhD students, there will be an oral exam. For MSc students, depending on the number of participants (up to 15 or more), there will be an oral or a written exam. In addition, there will be (at least) one assignment, accounting for 30% of the overall grade. |
| An-/Abmeldung zur Prüfung | Anm.: Belegen Lehrveranstaltung; Abm.: stornieren |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | 1-6 0,1 |
| Belegen bei Nichtbestehen | beliebig wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Wirtschaftswissenschaftliche Fakultät / WWZ |