DA 226o Financial Analytics 3:1 (August 2022)
Course Instructor: : Shashi Jain, Management Studies
Course description: This four-credit course will be offered as an elective every Aug-Dec term. The course will introduce a number of financial analytics techniques. The course covers the fundamentals of financial time-series, performance models, and forecasting models. The participants will also learn how to evaluate the risk-reward trade-off with an introduction to the Modern Portfolio Theory.
Topics
Module 1: Introduction to financial analytics, business forecasting, and time-series data.
Module 2: Basic forecasting models, moving averages, exponential smoothing, and Holt-Winter’s forecasting model.
Module 3: How to identify if a time series is stationary or not and know how to make non-stationary data become stationary, introduction to ARIMA and its implementation.
Module 4: Modern portfolio theory and advanced topics on algorithmic trading.
Textbooks / References
- Analysis of Financial Time Series (Wiley Series in Probability and Statistics) Ruey Tsay
- Time series analysis and its applications. Shumway and Stoffer.
- Advances in financial machine learning. Marcos Lopez de Prado
Prerequisites: Basics of programming, probability, and statistics.
Grading:
- Assignments 30%
- Module quizzes 30%
- Final exam 40%.