Financial Data Modeling & Analysis in R (CFRM 542) Certificate | UW Professional & Continuing Education

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.

Topics include:

  • 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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