ST436 Half Unit
Financial Statistics
This information is for the 2013/14 session.
Teacher responsible
Prof Piotr Fryzlewicz COL 6.01
Availability
This course is compulsory on the MSc in Statistics (Financial Statistics) and MSc in Statistics (Financial Statistics) (Research). This course is available on the MSc in Risk and Stochastics. This course is available with permission as an outside option to students on other programmes where regulations permit.
Pre-requisites
Students must have completed Statistical Inference: Principles, Methods and Computation (ST425).
Course content
The course covers key statistical methods and data analytic techniques most relevant to finance. Hands-on experience in analysing financial data in the “R” environment is an essential part of the course. The course includes a selection of the following topics: obtaining financial data, low- and high-frequency financial time series, ARCH-type models for low-frequency volatilities and their simple alternatives, predicting equity indices (case study), Markowitz portfolio theory and the Capital Asset Pricing Model, machine learning in financial forecasting, Value at Risk, simple trading strategies.
Teaching
20 hours of lectures and 10 hours of seminars in the LT.
Formative coursework
Weekly marked problem sheets, with solutions discussed in class.
Indicative reading
Lai, T.L. And Xing H. (2008) Statistical Models and Methods for Financial Markets. Springer. Tsay, R. S. (2005) Analysis of Financial Time Series. Wiley. Ruppert, D. (2004) Statistics and Finance – an introduction. Springer. Fan, Yao (2003) Nonlinear Time Series. Hastie, Tibshirani, Friedman (2009) The Elements of Statistical Learning. Haerdle, Simar (2007) Applied Multivariate Statistical Analysis.
Assessment
Exam (100%, duration: 2 hours) in the main exam period.
Key facts
Department: Statistics
Total students 2012/13: 35
Average class size 2012/13: 35
Value: Half Unit
Personal development skills
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Commercial awareness
- Specialist skills