Follow Us Facebook Twitter Google+ LinkedIn YouTube
Financial Data Modeling & Analysis in R (CFRM 542) Certificate | UW Professional & Continuing Education
Courses » Financial Data Modeling & Analysis in R (CFRM 542)

Financial Data Modeling & Analysis in R (CFRM 542)

Part of the Certificate in Computational Finance. Open to non-certificate students.

Course Description

This course is an in-depth hands-on introduction to the R statistical programming language 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.

Topics include:

  • The R language – syntax, data types, resources, packages and history, graphics, visualization
  • Graphics in R – plotting and visualization
  • Statistical analysis of returns – fat-tailed skewed distributions, outliers, serial correlation
  • Financial time series modeling – covariance matrices, AR, VecAR
  • Factor models – linear regression, LS and robust fits, test statistics, model selection
  • Multidimensional models – principal components, clustering, classification
  • Optimization methods – QP, LP, general nonlinear
  • Portfolio optimization – mean-variance optimization, out-of-sample back testing
  • Bootstrap methods – non-parametric, parametric, confidence intervals, tests
  • Portfolio analytics – performance and risk measures, style analysis


Upcoming Sections

Subscribe to
Our Newsletter
Sign up for our monthly newsletter to hear about new programs, events, career tips and more.
Contact us or call 888-469-6499.

Follow Us

Facebook Twitter LinkedIn Google+ YouTube
Subscribe to Our Newsletter

Sign up for our monthly newsletter to hear about new programs, events, career tips and more.