Course syllabus - Time Series Analysis 7.5 credits

Tidsserieanalys

Course code: MMA702
Valid from: Autumn semester13
Level of education: Second cycle
Subject: Mathematics
Main Field(s) of Study: Mathematics/Applied Mathematics,
In-Depth Level: A1F (Second cycle, has second-cycle course/s as entry requirements),
School: UKK
Ratification date: 2013-02-01

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.

Teaching methods

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

Specific entry requirements

At least 120 credits totally from these areas: technical, natural sciences, business administration or economics where Stochastic Processes 7,5 credits or equivalent is included and a TOEFL test result, minimum score 173 (CBT), 500 (PBT) or 61 (iBT) or an IELTS test result with an overall band score of minimum 5,0 and no band score below 4,5. The English test is COMPULSORY for all applicants except citizens of Australia, Canada, Ireland, New Zealand, United Kingdom and USA.

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 MDH 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 (2016/0601). 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.

Rules and regulations for examinations

Marks

Three-grade scale

Enviromental aspects

This course does not include any specific environmental considerations.

Course literature is preliminary until 3 weeks before the course starts. Literature may be valid over several terms.

Valid from: Autumn semester13

Decision date: 2013-07-18

Last update: 2013-07-18

Books

Tsay, Ruey S.;

Analysis of financial time series

ISBN: 978-0-470-41435-4 (cloth) LIBRIS-ID: 11901702

xxiii, 677 p.