Quantitative Finance & Algorithmic Trading II - Time Series

Course details

This course is about time series analyses. You will use R as the programming language and RStudio as the integrated development environment.

IMPORTANT: only take this course, if you are interested in statistics and mathematics !!!

The aim of the course is to construct a model capable of forecasting future stock prices. You will learn about the most important time series related concepts:

• white noise
• moving average model
• autoregressive model
• conditional heteroskedastic models

In the last chapter you will implement a model (combining ARIMA and GARCH models) from scratch that is able to outperform the buy&hold (so long term investing) strategy!