Past Meetup

Time Series Analysis and Prediction - Financial and other Streaming Data

This Meetup is past

5 people went

Price: $295.00 /per person
Location image of event venue


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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