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IEOR E4709 Spring 2016 Syllabus

This course covers statistics and time series analysis applied to financial data. The course objectives are to analyze asset price predictability, model financial time series using ARMA and GARCH models, and apply regression models to test capital asset pricing and nonlinear term structure fitting. Prerequisites include probability, statistics, and stochastic processes. Topics covered include estimation, hypothesis testing, Bayesian statistics, regression, time series, and volatility models. Students are evaluated based on homework, a midterm exam, and a final exam.

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302 views1 page

IEOR E4709 Spring 2016 Syllabus

This course covers statistics and time series analysis applied to financial data. The course objectives are to analyze asset price predictability, model financial time series using ARMA and GARCH models, and apply regression models to test capital asset pricing and nonlinear term structure fitting. Prerequisites include probability, statistics, and stochastic processes. Topics covered include estimation, hypothesis testing, Bayesian statistics, regression, time series, and volatility models. Students are evaluated based on homework, a midterm exam, and a final exam.

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IEOR E4709 Data Analysis for Financial Engineering TIM LEUNG, Spring 2016

Syllabus

Course Objective:
This course covers basic statistics and time series and their applications to financial
data, with focus on the topics: empirical analysis of asset prices: heavy tails, test of
the predictability of stock returns; financial time series: ARMA, stochastic volatility,
and GARCH models; and regression models: linear regression and test of CAPM,
nonlinear regression and fitting of term structures.

Prerequisites:
Probability and statistics at the level of IEOR E4150, and stochastic processes at the
level IEOR E4106

Recommended Books:
[L] Tsay, Ruey S., Analysis of Financial Time Series, Wiley , New Jersey, 2010.

Outline
Estimation
Hypothesis Testing
Bayesian Statistics
Black-Litterman Model
Regression Analysis
Principal Component Analysis
Linear Time Series
Volatility Models
High Frequency Data

Evaluation:
Homework assignments: 20%
Final exam: 50%
Midterm exam: 30%

Office:
312 Mudd Bldg; Appointment by e-mail: [email protected].

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