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Syllabus for

Academic year
TMS086 - Financial time series
 
Owner: TM
5,0 Credits (ECTS 7,5)
Grading: TH - Five, Four, Three, Not passed
Level: C
Department: 11 - MATHEMATICAL SCIENCES


Teaching language: English

Course module   Credit distribution   Examination dates
Sp1 Sp2 Sp3 Sp4 No Sp
0101 Examination 5,0 c Grading: TH   5,0 c   Contact examiner,  Contact examiner

In programs

TM Teknisk matematik, Year 2 (elective)
EMMAS MSc PROGR IN ENGINEERING MATHEMATICS, Year 1 (elective)
TTFYA ENGINEERING PHYSICS, Year 4 (elective)

Examiner:

Forskarassistent  Catalin Starica



Eligibility:

For single subject courses within Chalmers programmes the same eligibility requirements apply, as to the programme(s) that the course is part of.

Content

This course introduces advanced time-series techniques and their application to the analysis and forecasting of financial time-series. Emphasis is given to nonlinear methods applied to high-frequency financial data. Topics covered include:
Modelling of the marginal distribution of returns (Modelling the tails, Modelling the centre)
Modelling the dependency (ARIMA models, GARCH models, The tails of Garch processes)
Non-stationary volatility modelling
Multivariate modelling of financial returns

Organisation

The process of assimilation of the theoretical concepts presented during the lectures is enhanced by a number of homeworks and two hands-on projects. While the homeworks are to solved individually, the projects stimulate the development of team working skills.

Literature

Mills, T., The Econometric Modelling of Financial Time Series, Cambridge University Press (1999) and hand-out notes. We will follow the book rather loosely (the main quality of the book is the choice of topics while the treatement is uncritical and often not rigorous) and we will supplement it with lecture notes available before the lectures.

Examination

Two projects, one towards the middle of the course and one at the end (to be done in pairs, i.e. 2 students) together with a number home assignments (to be done ABSOLUTELY INDIVIDUAL).


Page manager Published: Mon 28 Nov 2016.