This course develops a portfolio of techniques for the analysis of financial time series. Distribution theory covers the normal, student T, chi-squared, and mixture of normal models. Technical analysis covers a variety of trading rules including filters, moving averages, channels, and other systems. The first two topics are then combined into an analysis of non-linear time series models for the mean. The course concludes with a review of volatility models including GARCH, E-Garch and stochastic volatility models.
[(MSF 504 and MSF 505)]