MTH 9867 Time Series Analysis and Algorithmic Trading

3 Hours; 3 Credits

This course covers various topics including: Time series; ARMA, ARCH, Conditional heteroscedastic, and GARCH models, High Frequency data analysis and algorithmic trading, Multivariate time series analysis, Principal component analysis (PCA) and factor models, State space models and Kalman filters, Markov Chain Monte Carlo Methods, Risk management of algorithmic trading strategies, Data management and processing, Statistical arbitrage in high frequency settings, and Execution and monitoring of algorithmic trading strategies.

Prerequisite: TBD