Time Series Methods for Finance & Scenario Generation
The topic of financial time series method has attracted substantial attention in recent years, especially with the 2003 Nobel Laureates‘ awards to Professors Robert Engle and Clive Granger. Nowadays, financial time series method is widely used in quantifying various risk factors, predicting returns, volatilities, and risks.
The two-day intensive and highly interactive workshop focuses on some of the common approaches to modeling financial time series as well as on new developments, especially in high-frequency financial data, stochastic volatility. Some aspects of available software platform e.g. R are also discussed.
This comprehensive two-day workshop updates you on the most important developments in this field. The workshop
- Introduces and explains the theoretical aspects (time series concepts);
- Provides a background to the complexities in modeling financial time series;
- Helps participants to understand the use of time series regression models and ARIMA models for describing financial time series; the strengths and weaknesses of various GARCH model specifications;
- Explores the use of stochastic volatility in modeling risk factors;
- Shows ways to model the interdependencies between multiple time series using Vector Autoregressive (VAR) and Vector Error Correction Models (VECM);
- Explains the practical applications of time series modelling in financial risk management.
The workshop uses R, a free software for statistical modelling, which runs on most operating systems, and can be downloaded from The Comprehensive R Archive Network (CRAN) at http://cran.r-project.org/ . Attendees who have experience with S-Plus will have no problem working with R. For those new to R, OptiRisk offers a special “R with Finance” training workshop.
There will be adequate time allocated for refreshment breaks, lunch and for delegates to network and discuss the issues being addressed.
Practitioners at banks, risk professionals, traders, consultants and academics.
- Characteristics of Financial Time Series
- Linear Time series Analysis and its Applications
- Stationarity, Correlation, Autocorrelation
- AR/MA/ARMA
- Unit-Toot
- Regression Models
- Conditional Heteroscedastic Models
- Characteristics of Volatility
- ARCH
- GARCH
- Application
- Nonlinear Models and their Applications
- Nonlinear models: TAR/STAR/Markov Switching
- Nolinearity tests
- Application
- High-Frequency Data Analysis
- Stochastic volatility
- Vector Autogressive Models for Multivariate Time Series
- Factor Models for Asset Returns
Duration:
Two-day course
Ashok Banerjee, IIM Calcutta Members of CARISMA Team Members of Fraunhofer ITWM Xenomorph
2 days £1025 + VAT
Thanks to our sponsors, there are a limited number of bursaries available for academics and research students.
For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com
Discounted rates for group bookings can be also arranged on request.