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ST906 - Financial Time Series

  • Module code: ST906
  • Module name: Financial Time Series
  • Department: Statistics
  • Credit: 15

Content and teaching | Assessment | Availability

Module content and teaching

Principal aims

The Module aims to provide the student with background and skills, (a) to be able to model and analyze financial time series data, and to extend and develop methodology as required (b) to understand and be able to critically evaluate times series developments and research results in the finance area.

Principal learning outcomes

By the end of the module the student should have: a good theoretical understanding of the standard techniques of time series analysis as applied in the finance area; an ability to carry out exploratory and descriptive analysis of time series data, particularly with reference to financial applications; mathematical ability in deriving the statistical properties of linear and nonlinear time series models; a general appreciation of nonlinearity in time series modelling, and in particular with respect to modelling volatile financial series; an ability to undertake modelling studies of time series involving forecasting and simulation, with appropriate software, and covering model choice, fitting and validation.

Timetabled teaching activities

There will be one 2-hour lecture and one 1-hour seminar or problem class per week.

Departmental link

http://www2.warwick.ac.uk/fac/sci/statistics/modules/st9/st906

Module assessment

Assessment group Assessment name Percentage
15 CATS (Module code: ST906-15)
D1 (Assessed/examined work) Assessed Course Work 10%
Assessed Course Work 10%
Examination - April 80%

Module availability

This module is available on the following courses:

Core

N/A

Optional Core

N/A

Optional
  • Undergraduate Mathematics and Statistics (BSc MMathStat) (G1G3) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G300) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30A) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30B) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30C) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (G30D) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30E) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30F) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30G) - Year 5
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 3
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 4
  • Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated (G30H) - Year 5
  • Postgraduate Taught Statistics (G4P1) - Year 2