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Financial Time Series - MAT00041M

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  • Department: Mathematics
  • Module co-ordinator: Prof. Wenyang Zhang
  • Credit value: 10 credits
  • Credit level: M
  • Academic year of delivery: 2022-23
    • See module specification for other years: 2021-22

Related modules

Pre-requisite modules

Co-requisite modules

  • None

Prohibited combinations

  • None

Module will run

Occurrence Teaching period
A Spring Term 2022-23

Module aims

This module aims to provide a comprehensive and systematic introduction to financial time series models and their applications to modelling and prediction of financial time series data.

Module learning outcomes

At the end of the module students should:

  • Know the basic characteristics of financial data, understand the application of financial time series models, and gain the experience in analysing financial time series.
  • Have a reasonable ability to derive theoretical results relating to some important financial time series models.
  • Have a reasonable ability to fit time series models to time series data, and carry out related predictions using appropriate computer software.
  • Have a reasonable ability to use residual plots and other techniques to assess the goodness of fit of a time series model.
  • Have a reasonable ability to choose between alternative time series models for sets of time series data.

 

Assessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Financial Time Series		 2 hours 100

Special assessment rules

None

Reassessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Financial Time Series		 2 hours 100

Module feedback

Current Department policy on feedback is available in the student handbook. Coursework and examinations will be marked and returned in accordance with this policy.

Indicative reading

Ruey S. Tsay, Analysis of Financial Time Series, Wiley (2010).

Fan, J. and Yao, Q. Nonlinear Time Series: Nonparametric and Parametric Methods, Springer-Verlag, New York (2003)


The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.