| Course: | STAT 33910=FINM 33170 |
| Title: | Financial Statistics: Time Series, Forecasting, Mean Reversion, and High Frequency Data |
| Instructor(s): | Per Mykland |
| Teaching Assistant(s): | Youngseok Kim |
| Class Schedule: | Sec 01: F 1:30 PM-4:20 PM in MS 112 |
| Office Hours: | |
| Textbook(s): | No textbook |
| Description: | This course is an introduction to the econometric analysis of high-frequency financial data. This is where the stochastic models of quantitative finance meet the reality of how the process really evolves. The course is focused on the statistical theory of how to connect the two, but there will also be some data analysis. With some additional statistical background (which can be acquired after the course), the participants will be able to read articles in the area. The statistical theory is longitudinal, and it thus complements cross-sectional calibration methods (implied volatility, etc.). The course also discusses volatility clustering and market microstructure. Prerequisite(s): STAT 39000/FINM 34500 (may be taken concurrently), also some statistics/econometrics background as in STAT 24400–24500, or FINM 33150 and FINM 33400, or equivalent, or consent of instructor. |