Financial Data Modeling & Analysis in R (CFRM 542)
Part of the Certificate in Computational Finance. Open to non-certificate students.
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.
- 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