Financial Data Analysis

3 ch (3C) · Undergraduate

A practical introduction to statistical techniques which are important to the study of quantitative techniques for portfolio management. Will cover techniques in time series analysis, such as ARIMA, GARCH, regression, MCMC, resampling, factor models etc., with a particular focus on models and techniques that are prevalent in modern quantitative investment management. While the course is intended to be technical in nature, the focus will generally be on applications and implementations of models in the R language as opposed to theoretical considerations.