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This Meetup is cancelled

Time Series Analysis and Prediction - Financial and other Streaming Data

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  • Hacker Dojo

    599 Fairchild Drive, Mountain View, CA (map)

    37.402935 -122.049850

  • Classrom
  • Price: $295.00 /per person

    Refund policy

  • Instructor: Mike Bowles, PhD

    Location: Hacker Dojo (also available as webcast and recording)

    Dates: Oct 12, 26, Nov 2, 9

    Time: 9:00 am till 1:00 pm

    Registration: Early Bird registraion 5 days before class starts $295 (for all 4 classes) through or by PayPal (mike at mbowles dot com).  Regular registration $345 through eventbrite, PayPal or in class by check or cash.

    This course will cover the basics of time series analysis and prediction.  In particular, we'll address topics used in conjunction with financial time series and topics currently being adapted to handle large volume streaming data.  The class will employ examples in R-code.  The main text for the course will be Analysis of Financial Time Series by Ruey S. Tsay.  Here's an outline.

    Week        Topics

    1st Week    Background for Time Series

    Definitions, Stationarity, Tests, Examples

    2nd Week  Linear Models

    General Linear Model,  Fitting MA, ARMA, ARIMA etc.  ARCH and GARCH volatility models

    3rd Week    Other Topics in Financial Time Series

    Ito calculus and Black-Scholes model for option prices, Market microstructure, Co-integration and Pairs Trading, Basket trading


    4th Week    Kalman Filters and Non-parametric models

    Simple Derivation of Kalman Filter, General Form of Multivariate KF, Identifying KF State Space Model from Time Series Data,     Singular Spectrum Analysis and Change Point Detection

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Your organizer's refund policy for Time Series Analysis and Prediction - Financial and other Streaming Data

Refunds offered if:

  • the Meetup is cancelled
  • you can cancel at least 5 day(s) before the Meetup

Payments you make go to the organizer, not to Meetup. You must make refund requests to the organizer.

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