Financial Time Series Analysis
Professor: Chad Schafer
Department: Statistics
Course Number: 46929
Description: This course introduces time series methodology to the MSCF students. Emphasis will be placed on the data analytic aspects related to financial applications, with a view toward development of quantitative trading strategies. Topics studied in this course include univariate ARIMA modeling, forecasting, seasonality, model identification and diagnostics. In addition, GARCH and stochastic volatility modeling will be covered. At the end of the course, trading strategy development based on these models will be discussed. Reference texts (not required): Brockwell & Davis, Introduction to Time Series and Forecasting, 2nd edition, Springer (2002); N.H. Chan, Time Series: Applications to Finance, Wiley (2002).
Prerequisites: 46921, 46923, 46926
Pittsburgh Location
Carnegie Mellon University
5000 Forbes Avenue, GSIA 130
Pittsburgh, PA 15213
Office: (412) 268-3629
New York City Location
Carnegie Mellon University
55 Broad Street, 5th Floor
New York, NY 10004
Office: (412) 268-8446
MSCF Admissions
Carnegie Mellon University
Pittsburgh, PA 15213
Phone: (412) 268-3679
mscf@cmu.edu