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

Guidelines for interpreting course guide information

Personal development skills

  • Problem solving
  • Application of information skills
  • Communication
  • Application of numeracy skills
  • Commercial awareness
  • Specialist skills