Indicative Content |
Introduction
Financial data analysis in FinTech
Core use cases
Available tools
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Linear Time Series Analysis and Its Applications to Financial Data
Stationarity
Correlation and Autocorrelation
White Noise and Linear Time Series
Simple AR, MA and ARMA models
Seasonality
Regression models with Time Series
Time Series Errors
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Conditional Heteroscedastic Models
Noting and detecting volatility
Model building
ARCH and GARCH
Random Coefficient Autoregressive Models
Stochastic Volatility Models
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Non-linear Models
Non-linear Models
Tests of non-linearity
Modelling
Forecasting
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Multivariate Time Series Analysis & Its Applications to Financial Data
Weak Stationarity and Cross-Correlation Matrices
Vector Autoregressive and Moving Average Models
Reparameterization
Higher Dimensional Volatility Models
Factor-Volatility Models
Multivariate t Distribution
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Micro-structure Models and Pricing
Micro-structure measures (e.g. Bid-ask Spreads, Liquidity, etc.
Linear and non-linear Models for price changes
Options
Continuous-Time Stochastics Processes
Black Scholes
Value at Risk
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Markov Chain Monte Carlo Methods
Markov Chain Simulation
Sampling
Stochastic Volatility Models
Linear Regression with Time Series Errors
Markov Switching Models
Missing Values and Outliers
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Recommended Book Resources |
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Giuseppe Campolieti, Roman N. Makarov.. Financial mathematics, Boca Raton; CRC Press, [ISBN: 1439892423].
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Ansgar Steland. Financial Statistics and Mathematical Finance, Wiley, p.432, [ISBN: 0470710586].
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Analysis of Financial Time Series, John Wiley & Sons, Hoboken, [ISBN: 0470414359].
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John L. Teall. Financial Market Analytics, Quorum Books, p.328, [ISBN: 1567201989.].
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Supplementary Book Resources |
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James Wu, Stephen Coggeshall. Foundations of Predictive Analytics, Chapman and Hall/CRC, p.337, [ISBN: 1439869464.].
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Arratia, Argimiro. (2014), Computational Finance: An Introductory Course with R, Atlantis Press, [ISBN: 946239069X].
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This module does not have any article/paper resources |
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This module does not have any other resources |
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