QF301 Financial time series

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Course Catalog Description


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)

Campus Fall Spring Summer
On Campus X X
Web Campus


Professor Email Office
German Creamer
german.creamer@stevens.edu Babbio 637

More Information

Course Description

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.

Course Outcomes

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.

Course Resources


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
• 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.

Lecture Outline

Topic Reading
Week 1 Introduction to Financial Engineering Ch. 1 and 2
Week 2 Capital Markets Overview Ch. 3
Week 3 Corporate Finance & Valuation Ch. 3
Week 4 Equity Analysis Ch. 4
Week 5 Fixed Income Debt Securities Ch. 4
Week 6 Overview of Bonds Sectors & Instruments Ch. 4
Week 7 Valuation of Debt Securities Ch. 4
Week 8 Securitized Products
Week 9 Leveraged Loans & CLO's Ch. 5
Week 10 General Principles of Credit Analysis Ch. 5
Week 11 Foreign Exchange Ch. 6
Week 12 Poisson Processes and Jump Diffusion Ch. 11
Week 13 Exotic Options Ch. 7
Week 14 Review & Catch-up