Data-driven Financial Econometrics

STATS241P

Stanford School of Humanities and Sciences


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Description

Financial modeling is of fundamental importance to asset allocation, pricing, trading strategies, and risk management. By introducing basic and innovative statistical modeling techniques for financial markets, this course equips students with new analytic tools to tackle rapidly changing financial markets.

Prerequisites

STATS240P or equivalent

Topics include

  • Substantive and empirical modeling approaches in options, interest rate, and credit markets
  • Nonlinear least squares, logistic regression and generalized linear models
  • Nonparametric regression and model selection
  • Multivariate time series modeling and forecasting
  • Vector autoregressive models and cointegration
  • Risk measures, models and analytics

Note on Course Availability

The course schedule is displayed for planning purposes – courses can be modified, changed, or cancelled. Course availability will be considered finalized on the first day of open enrollment. For quarterly enrollment dates, please refer to our graduate certificate homepage.

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