STAT 6104 Financial Time Series
Chapter 0 - Course Outline
Course Outline (Time Series)
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Agenda
1
Teachers
2
Prerequisites
3
Book and Notes
4
Other Materials in the class website
5
Grading
Course Outline (Time Series)
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Teachers
Instructor: Prof. YAU Chun Yip
Email : cyyau@sta.cuhk.edu.hk
Web : www.sta.cuhk.edu.hk/cyyau
Office: Lady Shaw Building 110
Tutor: Mr. HUNG Kim Pong and Mr. LUI Chak Sum
Email : HKPkim1219@link.cuhk.edu.hk and samluics@link.cuhk.edu.hk
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Agenda
1
Teachers
2
Prerequisites
3
Book and Notes
4
Other Materials in the class website
5
Grading
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Prerequisites
Background in mathematics and statistics
Calculation of mean, variance, covariance
Confidence interval and hypothesis testing
Basic R programming
Download: http://cran.r-project.org/bin/windows/base/
Tutorial: http://r-statistics.net/r-tutorial.html
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Prerequisites
Essential Math/Stat Skills
k+1
1 1 + x + x 2 + x 3 + · · · = (1 − x)−1 and 1 + x + x 2 + · · · + x k = 1−x
1−x
2
3
E
n
P
a t Xt
=
n
P
t=1
t=1
n
P
n
P
Cov
at Xt ,
t=1
Course Outline (Time Series)
s=1
a t µt ,
where µt = E(Xt )
bs Xs
=
n P
n
P
at bs Cov(Xt , Xs )
t=1 s=1
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Cov
n
P
at Xt ,
t=1
n
P
bs X s
=
n P
n
P
at bs Cov(Xt , Xs )
t=1 s=1
s=1
Example 1
Consider observations
X1 , . . . , Xn with Var(Xi ) = σ 2 for all i = 1, . . . , n.
Pn
1
Let X̄n = n
X be the sample mean.
t=1 t
If X1 , . . . , Xn are independent, then Cov(Xt , Xs ) = 0 if t 6= s, and
Var(X̄n )
=
Cov(X̄n , X̄n ) = Cov
n
X
1
t=1
n
=
n
Xt ,
n
X
1
s=1
n
!
Xs
n
σ2
1 XX
1
Cov(Xt , Xs ) = 2 nσ 2 =
.
2
n
n
n
t=1 s=1
If X1 , . . . , Xn are lag-1 dependent with Cov(Xt , Xt−1 ) = Cov(Xt−1 , Xt ) = φ, then
n
Var(X̄n )
=
n
1 XX
1
Cov(Xt , Xs ) = 2 nσ 2 + 2(n − 1)φ .
n2
n
t=1 s=1
Time series analysis are statistical methods that accounts for the time dependence
(here φ) in the data
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Agenda
1
Teachers
2
Prerequisites
3
Book and Notes
4
Other Materials in the class website
5
Grading
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Book and Notes
Lecture Slide
Uploaded in CUHK Blackboard system.
blackboard.cuhk.edu.hk
Textbook
Chan, Ngai-hang (2010).
Time Series: Applications to Finance with Rand S-Plus (2nd
Ed.).John Wiley & Sons
Most of the topics in the lecture slides follow from this book
Textbook’s website: (datasets download)
http://www.sta.cuhk.edu.hk/NHCHAN/TSBook2nd/dataset.html
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Book and Notes
Reference books
Cowpertwait, P.S.P and Metcalfe, A.V . (2009) Introductory Time
Series with R (Use R!). Springer.
Tsay, R.S. (2010) Analysis of Financial Time Series 3rd edition. Wiley.
Figure: Textbook
Course Outline (Time Series)
Figure: Reference book Figure: Reference book
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Agenda
1
Teachers
2
Prerequisites
3
Book and Notes
4
Other Materials in the class website
5
Grading
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Other learning materials
Regular assignments
About 4-5 assignments in total
Hand in class (or scan and send e-mail to TA)
Discuss the result of your analyses. Never turn in raw computer
outputs or spread sheet files
LATE assignment will NOT be graded
Exercises
Sample exercises for each chapter (solutions provided)
What for?
Consolidating concepts
Help to do assignments
Training for Midterm/Final
No need to hand in, work hard yourself!
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Agenda
1
Teachers
2
Prerequisites
3
Book and Notes
4
Other Materials in the class website
5
Grading
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Grading
Regular assignments (30%)
Mid term exam (30%) 13/10 Monday
Final exam (40%) 1/12 Monday
* (8/12 is reserved for contingency)
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