课程代码：123334A Course Code：133334A
课程名称：金融时间序列分析 Course Name：Analysis of Financial Time Series
学时：64=48+16 Periods：64=48+16
学分：4 Credits：4
考核方式：考试 Assessment：Examination
先修课程：高等数学 Preparatory Courses：Advanced mathematics
概率论和数理统计 Probability and Mathematical Statistics
随机过程 Random Process
回归分析 Regression Analysis
《金融时间序列分析》 是一门系统介绍金融计量经济模型及其在金融时间序列数据的建模和预测中应用的课程。课程的主要目标是学习了解金融数据的基本特征，理解金融计量经济模型的应用，获取分析金融时间序列分析的经验方法。本课程将首先介绍金融时间序列数据的一些基本特征，包括高频数据，其次介绍一维金融时间序列的分析及应用以及多项资产收益序列，最后介绍MCMC方法用于金融统计中的贝叶斯推断。学习本课程，需要具备统计学的基本概念和知识，如果了解一些金融知识有助于深入理解课程中的讨论和应用。这门课程的突出特点就是强调实例和数据分析相结合，运用实际金融数据来说明所讨论的模型和方法。通过本课程的学习，学生将加深对计量经济学和统计学的认识和理解，同时也会在课程中学到许多有趣且富有挑战性的金融案列。
“Analysis of Financial Time Series” is an introductory course intended to provide a comprehensive and systematic account of financial econometric models and their application to modeling and prediction of financial time series data. The goals are to learn basic characteristics of financial data, understand the application of financial econometric models, and gain experience in analyzing financial time series. This course begins with some basic characteristics of financial time series data, including high-frequency data, and then focuses on analysis and application of univariate financial time, as well as the return series of multiple assets. Finally, it will introduce Bayesian inference in finance via MCMC methods. To study this course, a knowledge of basic statistical concepts is needed. A knowledge of finance will be helpful in understanding the applications discussed throughout the course. The distinctive features of this course are the combination of recent developments in financial econometrics in the econometric and statistical literature. Students will advance in econometrics and statistics, who can also find interesting and challenging topics in many areas of this course.
