Financial Data Modeling & Analysis in R (CFRM 542)
This course is an in-depth hands-on introduction to the R statistical programming language (www.r-project.org) for computational finance. The course will focus on R code and code writing, R packages, and R software development for statistical analysis of financial data including topics on factor models, time series analysis, and portfolio analytics.
- The R Language. Syntax, data types, resources, packages and history, graphics, visualization
- Statistical analysis of returns. Fat-tailed skewed distributions, outliers, serial correlation
- Financial time series modeling and factor models
- Multidimensional models. Principal components, clustering, classification
- Optimization methods and bootstrapping
- Portfolio optimization and portfolio analytics
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