数据分析在金融领域的应用

你将学到什么

课程概况

This course introduces an overview of financial analytics. You will learn why, when, and how to apply financial analytics in real-world situations. You will explore techniques to analyze time series data and how to evaluate the risk-reward trade off expounded in modern portfolio theory. While most of the focus will be on the prices, returns, and risk of corporate stocks, the analytical techniques can be leverages in other domains. Finally, a short introduction to algorithmic trading concludes the course.

After completing this course, you should be able to understand time series data, create forecasts, and determine the efficacy of the estimates. Also, you will be able to create a portfolio of assets using actual stock price data while optimizing risk and reward. Understanding financial data is an important skill as an analyst, manager, or consultant.

课程大纲

Course Introduction

In this course, we will introduce a number of financial analytic techniques. You will learn why, when, and how to apply financial analytics in real-world situations. We will explore techniques to analyze time series data and how to evaluate the risk-reward trade off expounded in modern portfolio theory. While most of the focus will be on the prices, returns, and risks of corporate stocks, the analytical techniques can be leveraged in other domains. Finally, a short introduction to algorithmic trading concludes the course.

Module 1: Introduction to Financial Analytics and Time Series Data

In this module, we will introduce an overview of financial analytics. Students will learn why, when, and how to apply financial analytics in real-world situations. We will explore techniques to analyze time series data and how to evaluate the risk-reward trade off expounded in modern portfolio theory. While most of our focus will be on the prices, returns, and risks of corporate stocks, the analytical techniques can be leveraged in other domains. Finally, a short introduction to algorithmic trading concludes the course.

Module 2: Performance Measures and Holt-Winters Model

We will introduce analytical methods to analyze time series data to build forecasting models and support decision-making. Students will learn how to analyze financial data that is usually presented as time series data. Topics include forecasting performance measures, moving average, exponential smoothing methods, and the Holt-Winters method.

Module 3: Stationarity and ARIMA Model

In this module, we will begin with stationarity, the first and necessary step in analyzing time series data. Students will learn how to identify if a time series is stationary or not and know how to make nonstationary data become stationary. Next, we will study a basic forecasting model: ARIMA. Students will learn how to build an ARIMA forecasting model using R.

Module 4: Modern Portfolio Theory and Intro to Algorithmic Trading

We will introduce some basic measurements of modern portfolio theory. Students will understand about risk and returns, how to balance them, and how to evaluate an investment portfolio.