財務時間序列分析

Financial Time Series Analysis

學期

106-1

學分

0 學分

當期課號

5585

永久課號

IOF5082

開課單位

資訊管理與財務金融系財務金融碩博士班

授課教師

鄧惠文

校區

光復

類別

選修

上課時間表

節	週一
2 09:00–09:50	財務時間序列分析 M102（光復） 3 節連堂
3 10:10–11:00
4 11:10–12:00

* 根據陽明交大上課時間表所列

概述

This course aims at training students to be equipped with fundamental knowledge on time series analysis with applications to financial data. This course will cover materials including ARMA models, GARCH models, and high-frequency data modeling. This course introduces and illustrates how to implement statistical analysis using R programming.

先修科目

Statistics (I) and (II)

備註

無備註

教學方式

This courses trains students to analyze financial time series data using the freely available R software packages. In addition to examples in textbook, the student needs to implement an individual project using data retrieved in database (such as TEJ or WARDS) to illustrate how to formulate a problem and conduct suitable statistical analysis.

評分方式

Participation 5%, Homework 15%, Midterm Exam 30%, Final Exam 30%, Project 20%

課程大綱

教師未提供此項資料

週次計畫

週次	主題
第 1 週	Syllabus. Introduction to R. Ch 1: Financial data 9/11
第 2 週	Ch 1: Visualization of the data. 9/18
第 3 週	Ch 2. Stationary, ACF, whine noise and linear time series, PACF 9/25
第 4 週	Ch 2: AR models 10/2
第 5 週	Break. Double Ten Festival 10/9
第 6 週	Ch 2: MA models, ARMA models 10/16
第 7 週	Ch 2: Uni root tests and case studies 10/23
第 8 週	Midterm Exam 10/30
第 9 週	GARCH models 11/6
第 10 週	Other GARCH models 11/13
第 11 週	Proposal presentation 11/20
第 12 週	Applications 11/27
第 13 週	Exam 2 12/4
第 14 週	Ch 7: Value-at-Risk and Expected Shortfall 12/11
第 15 週	Project Prensentation 1 12/18
第 16 週	Project Presentation 2 12/25
第 17 週	Break. New Year 1/1
第 18 週	Discussions 1/18

教科書

Required: Tsay, R.S. (2013) An introduction to analysis of financial data with R. Wiley \& Sons, Hoboken, New Jersey. Reference: Time Series Analysis and Its Applications: With R Examples, 3rd ed., Robert Shumway and David Stoffer

Office Hours

地點: M-415
時間: Thursday morning or by appointment
聯絡方式: venteng@gmail.com