Carnegie Mellon University

Financial Time Series Analysis

Course Number: 46929

Concentration: Statistics / Data Science
Semester(s): Mini 4
Required/Elective: Required
Prerequisite(s): 46921, 46923, 46926

This course introduces time series methodology to the MSCF students. Emphasis will be placed on basic time series models (AR, MA, ARMA and ARIMA) and their use in financial applications, including forecasting and the development of quantitative trading strategies. Topics studied in this course include univariate forecasting, seasonality, model identification and diagnostics. In addition, GARCH and stochastic volatility modeling will be covered as will state space models and Kalman filtering. Multivariate time series and cointegration will be introduced along with their application to trading strategies.