Statistics and Financial Data Analysis

The course provides a comprehensive introduction to key concepts used in applied statistical work with financial data. The emphasis is both on the key principles of the underlying statistical theory as well as on the economic intuition behind the estimates.

At the end of the course, the students will have a good understanding of the “traditional” statistical methods for financial data analysis (outside the machine learning framework), their merits and disadvantages, and will be well equipped to conduct individual data-based research or industry projects. In addition, they will be able to implement these concepts in R.

This course is required for all participants. It is taught in the first semester and carries 6 ECTS credits. Go to the next course or see the list of courses.

  • Essential Literature
  • R. S. Tsay, Analysis of Financial Time Series, Third Edition, Wiley–Interscience Probability and Statistics (2010).
  • R. S. Tsay, An Introduction to Analysis of Financial Data with R, Wiley (2013).
  • M. Verbeek, A Guide to Modern Econometrics, 5th Edition, Wiley (2017).