QF301 Financial time series

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Semester: Fall 2012 Day of Week/Time

Tuesdays 3-4.40 PM, Wed.:10-10.50AM
Babbio 110 and Hanlon Finance Lab

Instructor name and contact information

Germán Creamer, Babbio 637
gcreamer@stevens.edu

Office Hours: Th. 10.30AM-12.00 PM

Class Website: Moodle

Contents

Overview

This course will cover the main topics of the analysis of time series to evaluate risk and return of the main products of capital markets (equity, fixed income, and derivatives). Students will work with historical databases, conduct their own analysis, and conduct tests based on the techniques reviewed during the class.
Prerequisites: QF202, and intermediate statistics (MA331 or BT221 or MGT620)

Introduction to Course

The significant amount of historical information available for most financial instruments requires a systematic and analytical approach to select an optimal portfolio. Time series analysis facilitates this process understanding, modeling and forecasting the behavior of financial assets.

This course reviews the most important techniques used by investors, risk managers, and also by finance managers of non-financial service companies to analyze time series of their most relevant financial variables. Even though the methodologies reviewed during this course could also be applied to other domains such as marketing, the main emphasis of this class is on financial applications.

Relationship of Course to Rest of Curriculum

Students will have the opportunity to formalize the concepts of quantitative finance in econometric models that can be applied to risk management or trading.

Learning Goals

By the end of this course, the students will be able to:
1. Understand the foundations of financial time series data, including high-frequency data
2. Apply models and methods for analysis of financial time series (return and volatility)
3. Recognize the value and also the limits of econometric methods in financial time series.

Pedagogy

The class will combine class presentations, discussions, exercises and case analysis to motivate students and train them in the appropriate use of econometric techniques.

Required Text(s)

R. S. Tsay, Analysis of Financial Time Series, 3rd Ed, John Wiley, 2010. (2nd. Edition can be accessed through the library website)

Optional Readings

John Brocklebank and David Dickey, SAS for Forecasting Time Series, 2nd. ed. Wiley,2009.

E. Zivot and J. Wang, Modeling Financial Time Series with S-plus, 2nd Ed., Springer,2005.

J. Campbell, A. Lo, and A. MacKinlay, The Econometrics of Financial Markets,Princeton University Press, 1997.

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