Course Description

Course Name

Financial Time Series Analysis

Session: VSOF3321

Hours & Credits

3 Credits

Prerequisites & Language Level

Taught In English

  • There is no language prerequisite for courses at this language level.


Course Description: This course is designed to deepen students' understandings on financial time series analysi. The importance of quantitative methods in business and finance has increased substantially in recent years because we are currently living in a data-rich environment. Throughout the semester, this course provides basic knowledge of financial time series and introduces statistical tools for analyzing financial data. Specific topics covered in this course are linear models, return volatility, high frequency financial data, and others. This course illustrates how the financial time series models work by analyzing real-world financial data through R, which is a free package for advanced statistical computing.

Course Objectives: This course has the following two goals. First, aims at a basic understanding of the quant methodology widely used in the financial industry. Second, we try to analyze real financial time series data by applying basic theory. To do this, students use R, a statistical programming language.

*Course content subject to change