Course syllabus for Financial time series

The course syllabus contains changes
See changes

Course syllabus adopted 2021-02-26 by Head of Programme (or corresponding).

Overview

  • Swedish nameFinansiella tidsserier
  • CodeTMS088
  • Credits7.5 Credits
  • OwnerMPENM
  • Education cycleSecond-cycle
  • Main field of studyMathematics
  • DepartmentMATHEMATICAL SCIENCES
  • GradingTH - Pass with distinction (5), Pass with credit (4), Pass (3), Fail

Course round 1

  • Teaching language English
  • Application code 20123
  • Open for exchange studentsYes

Credit distribution

0117 Examination 7.5 c
Grading: TH		 7.5 c
  • 02 Jun 2023 pm J
  • 03 Jan 2023 am J
  • 21 Aug 2023 am J

In programmes

Examiner

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Eligibility

General entry requirements for Master's level (second cycle)
Applicants enrolled in a programme at Chalmers where the course is included in the study programme are exempted from fulfilling the requirements above.

Specific entry requirements

English 6 (or by other approved means with the equivalent proficiency level)
Applicants enrolled in a programme at Chalmers where the course is included in the study programme are exempted from fulfilling the requirements above.

Course specific prerequisites

Good knowledge of calculus and linear algebra, knowledge of basic probability and statistics. Some knowledge of stochastic processes and programming in matlab is highly desirable. 

Aim

Students will gain an understanding of the classical time-series theory and practice with an emphasis on the modeling of financial time series. They will develop an appreciation of the issues, goals and approaches of this theory through being exposed to basic probabilistic models, tools, and statistical estimation methods specific to this field. In the frame of the general time-series set-up they will develop an appreciation of the specific issues related to the analysis and forecasting of financial returns.

Learning outcomes (after completion of the course the student should be able to)

  • Compute and interpret marginal distributions and autocorrelation functions in time series
  • Derive the properties of ARIMA and GARCH models
  • Choose an appropriate ARIMA/GARCH model for a given set of data and fit the model using an appropriate package
  • Compute forecasts for a variety of linear and non-linear methods and models

Content

This course introduces time series techniques and their application to the analysis and forecasting of financial time series. Topics covered include:

ARIMA models - probabilistic properties and estimation
  • Stationary processes
  • The autocovariance and the autocorrelation functions
  • Basic properties of ARMA processes
  • Linear process representation
  • Estimation of ARMA processes

ARCH and GARCH processes - theory and practice of volatility modeling
  • The ARCH family, definition and relation with ARMA processes
  • Extensions of GARCH processes

Nonlinear models
  • Bilinear models and Markov switch autoregressive models
  • Model fitting using kernel regression, bandwidth selection, and local linear regression
  • Non-parametric and parametric tests for non-linearity
  • Forecasting and prediction performance measures

Organisation

The theoretical discourse is supplemented by hands-on data analysis. Familiarity with a statistical software analysis tool (like Matlab, Splus, R) is assumed.

Literature

The course literature is given on a separate list.

Examination including compulsory elements

Written exam. Programming exercises to gain bonus points for the final exam.

The course examiner may assess individual students in other ways than what is stated above if there are special reasons for doing so, for example if a student has a decision from Chalmers on educational support due to disability.

The course syllabus contains changes

  • Changes to examination:
    • 2023-03-20: Exam date Exam date 2023-08-21 added by Elisabeth Eriksson
      [35541, 58590, 3], New exam for academic_year 2022/2023, ordinal 3 (not discontinued course)
    • 2022-08-25: Exam date Exam date changed by Elisabeth Eriksson
      [35541, 58590, 2], New exam for academic_year 2022/2023, ordinal 2 (not discontinued course)
  • Changes to course rounds:
    • 2023-02-06: Examinator Examinator changed from Annika Lang (langa) to Michael Björklund (micbjo) by Viceprefekt
      [Course round 1]