Course syllabus - Time Series Analysis

Objectives

Time series play a key role in analytical finance and insurance, and in financial engineering. The course presents the basic models of time series such as linear time series, autoregressive type models, nonlinear time series, high-frequency models, continuous time models and multivariate time series, elements of statistical estimation as well as simulation of time series. This basic part of the course can also be interesting for students from other specialties than analytical finance and financial engineering. The examples used in the course are selected from time series applications economics, finance and insurance.

Learning outcomes

At the end of the course the student is expected to be able to
- perform descriptive analysis of sample data.
- choose appropriate models for financial time series.
- use formulas for evaluation of various distributional parameters, prices for financial contracts, and other characteristics connected with financial time series.
- solve equations connected with financial time series.
- use algorithms and formulas for statistical estimation in time series analysis.
- build algorithms for Monte Carlo simulation of various time series models.

Course content

Financial time series and their characteristics. Linear time series analysis, autoregressive type models (ARCH, GARCH, CHARMA and stochastic volatility models). Nonlinear models. High-frequency data analysis and market microstructure. Continuous-time models. Extreme values, quantile estimation and value at risk. Multivariate time series analysis. Principal component analysis and factor models. Multivariate volatility models. State-space models and Kalman filter. Monte Carlo methods.

Tuition

Lectures combined with exercises. Continuous examination of problems/projects combined with written tests. Examination of seminars through oral presentation of written reports.

Specific requirements

At least totally 120 credits in the engineering, natural sciences, business administration or economics areas including Stochastic Processes, 7.5 credits, of which 4.5 credits must be completed at the beginning of the course, or the equivalent. In addition Swedish course B/Swedish course 3 and English course A/English course 6 are required. For courses given entirely in English exemption is made from the requirement in Swedish course B/Swedish course 3.

Examination

Continuous examination/projects combined with written test (PRO1), 4.5 credits, marks Pass (G) or Pass with distinction (VG)
Seminars (SEM1), 3 credits, marks Pass (G) or Pass with distinction (VG)

A student who has a certificate from MDU regarding a disability has the opportunity to submit a request for supportive measures during written examinations or other forms of examination, in accordance with the Rules and Regulations for Examinations at First-cycle and Second-cycle Level at Mälardalen University (2020/1655). It is the examiner who takes decisions on any supportive measures, based on what kind of certificate is issued, and in that case which measures are to be applied.

Suspicions of attempting to deceive in examinations (cheating) are reported to the Vice-Chancellor, in accordance with the Higher Education Ordinance, and are examined by the University’s Disciplinary Board. If the Disciplinary Board considers the student to be guilty of a disciplinary offence, the Board will take a decision on disciplinary action, which will be a warning or suspension.

Grade

Three-grade scale